Cellino is appealing against his second disqualification in a year.
The Italian was adjudged to have failed the owners' and directors' test after being found guilty of an offence under Italian tax legislation relating to the non-payment of VAT in June.
"Since I came here it's been a nightmare," he told the Times.
"Now I have a low quality of life. I feel shame when I walk to the shop to buy cigarettes if we lose a game.
"I convinced my family to come here and they have run away.
"It's like being at a party where you're not welcome. It's killing me. Every night I lie awake, asking myself: 'Am I good enough?'"
If the former Cagliari owner is unsuccessful in his appeal against his latest ban, it is likely he will be prevented from running the club until June 2016.
Many Leeds fans called on Cellino, who took over at Elland Road in April 2014, to leave the club during Thursday's 2-0 home defeat by Blackburn but he says leaving would not be straightforward.
"I'm not a coward," he added. "Life is not just about enjoyment. But I ask myself if it's better if I leave. Only failing to make the fans happy can hurt me.
"You think I can sell a club in five minutes? Who gets hurt in the meantime? Last season someone sent me a lot of liars."