The de Haas-van Alphen (dHvA) signal arising from orbits on the π Fermi surface sheet of the twogap superconductor MgB2 has been observed in the vortex state below Hc2. An extra attenuation of the dHvA signal, beyond those effects described in the conventional Lifshitz-Kosevich expression, is seen due to the opening of the superconducting gap. Our data show that the π band gap is still present up to Hc2. The data are compared to current theories of dHvA oscillations in the superconducting state which allow us to extract estimates for the evolution of the π band gap with magnetic field. Contrary to results for other materials, we find that the most recent theories dramatically underestimate the damping in MgB2.