Ljajic, a member of Serbia's Muslim minority, refused to sing ahead of the May 26 friendly with Spain, which Serbia lost 2-0.
Ljajic, who plays for Italian club Fiorentina, said he would not sing the anthem in the future because of "personal reasons."
No details about the nature of his refusal to sing the anthem were revealed.
Mihajlovic, sacked as Fiorentina's coach last year, became coach of Serbia's national team last week, on a two-year contract.
He has made players sign a code of conduct, which includes a pledge to sing the national anthem at games.