"As stubborn as a mule" is more common. I would go so far as to say that the saying _is_ "stubborn as a mule." We can do quick checks on questions like this with Google searches. A Google Books search yields 30,700 hits for "stubborn as a mule" and only 1,530 for "stubborn as a donkey."
Doing some searches just for fun, I also find some rare occurrences of "He's as stubborn as a horse with glanders," "stubborn as an ass," "stubborn as a jackass," "stubborn as a rock," "She's stubborn as a jellyfish and isn't afraid to shoot her mouth off to anyone," "stubborn as a bull," "stubborn as a tree stump," "stubborn as oak," "stubborn as steel," "stubborn as iron," and "stubborn as adamant."