How to set state of component in Signalr connection.on()

setState is a function, so

this.setState = ({ message: msg })

Should instead be

this.setState({ message: msg })

Besides, your function will not be able to access your classe's this. So instead of a normal anonymous function, you should go with an arrow function that preserves the context:

notifConn.on("ReceiveMessage", (msg) => {
   this.setState({ message: msg })
});