The former Parma shot-stopper flew into the country on Tuesday before making his way to the site, which has also been visited by Manchester City boss Roberto Mancini
According to local authorities, Buffon landed in Mostar on a private jet on Tuesday, less than 48 hours after the Azzurri suffered a 4-0 defeat against Spain in Kiev.
The 34-year-old then made his way to Medjugorje, which has been a site of religious pilgrimage since 1981 after reports of apparitions of the Virgin Mary to six local Catholics.
Manchester City coach Roberto Mancini also made the trip to the religious site in March, when his side were trailing rivals Manchester United by two points in the Premier League.
Buffon started in each of Italy's matches at Euro 2012, saving a spot-kick from Ashley Cole in the Azzurri's quarter-final penalty shoot-out victory.