The former Slovenia international's winless six-game reign — the same as predecessor David Hockaday — ended after Saturday's 2-1 loss to Wolverhampton.
Neil Redfearn, who bridged the gap between Hockaday and Milanic with 10 points from 12 as caretaker manager, will resume control of the team — for now.
Cellino bought the club in April after initially being blocked from owning Leeds over legal issues in his native Italy. The former Cagliari president fired manager Brian McDermott after a 15th-place finish in May.
Leeds, which hasn't been in the Premier League since 2004, won the topflight title in 1992 and reached the 2001 Champions League semifinals before financial difficulties.