The other day I was watching a volley game between Bulgaria and Italy. And Bulgarian players would cry "haydi" (just like us Turks) all together at the end.

What other languages in Balkans use this exclamation?

we, Romanians, have too, but with a bit different spelling

haide (read as hayde), or even haydi

and sometimes - hay - too

In Serbian we have(that´s actually the only way to say ´come on´

Hajde(read as hayde)

or shorter way:

Ajde(ayde)

Actually,usually it´s ´ajde,but there is also:

hajte
ajd´
aj
ajte
(h)ajmo(let´s go,let us do something),or hajdemo
(h)ajdete(come on you(plural you))

 

I know from my colleague that Croations use that word as Hajde ( hayde ) 

In Macedonian we have this exclamation

ајде !  Ayde !  - Haydi !, Hadi !

In informal speech we may also say it as " ај "  ay !

That word may have several meanings

Aјде  -  Ayde
1. let´s go
2. go, depart, leave (as an imperative)
3. come (as an imperative)
4. come on, c´mon
5. let´s ...
6. said to caution one about what one is saying

the number of Turkish loanwords is significiant in Balkan languages .I think haydi ,hayde or ayde is one of these loanwords from Turkish.We also use bre,be with haydi and ayde. etc; ayde bre = ooh come on

hayda bre

I am not sure "haydi" is a Turkish word. It is a very common word. Look even there is a "Heidi" in Swiss literature

Note: By the way I found an article about origin of haydi.

http://www.turkiyat.selcuk.edu.tr/pdfdergi/s30/2.pdf

I have heard ´haydi ya´. The ´ya´ means what in this format?