The rock star wrote on his website that his doctor organised scans, the latest of which was yesterday, after he complained of severe pain that affected his ability to stand up.
MRI scans showed there were "abnormalities in the bones", leading to further investigation over the Christmas period.
Mr May said he was feeling optimistic despite the health scare as the results of tests so far have revealed no sign of cancer.
The 66-year-old said in a website post that he started to get "bad pains in the backside" three months after having knee replacement surgery earlier this year.
He said: "So around Christmas I've been having a succession of blood tests, ultra sounds, and various kinds of scans, to see if they could rule out various kinds of cancer.
"Now, on hearing the 'C' word something happens inside you... of course. I've seen so many of my dear friends fighting it... and my dad lost his battle at age 66, exactly the age I am now.
"So over the last few days I've been in various states of unrest. But the great thing has been that the team my GP assembled to check out the possibilities has moved Heaven and Earth to gather all the information I need quickly."