The solution is to set the cell style through this function:
$sheet->getStyle('A1')->getAlignment()->applyFromArray(
array('horizontal' => PHPExcel_Style_Alignment::HORIZONTAL_CENTER,)
);
<?php
/** Error reporting */
error_reporting(E_ALL);
ini_set('display_errors', TRUE);
ini_set('display_startup_errors', TRUE);
date_default_timezone_set('Europe/London');
/** Include PHPExcel */
require_once '../Classes/PHPExcel.php';
$objPHPExcel = new PHPExcel();
$sheet = $objPHPExcel->getActiveSheet();
$sheet->setCellValueByColumnAndRow(0, 1, "test");
$sheet->mergeCells('A1:B1');
$sheet->getStyle('A1')->getAlignment()->applyFromArray(
array('horizontal' => PHPExcel_Style_Alignment::HORIZONTAL_CENTER,)
);
$objWriter = PHPExcel_IOFactory::createWriter($objPHPExcel, 'Excel2007');
$objWriter->save("test.xlsx");