The plan is the government's latest bid to curb immigration.
The immigration ministry even has a tracker counting the tightening of immigration legislation on its website.
Critics say the plan is draconian but it is supported by the government's anti-immigrant ally, the Danish People's Party.
"I have serious concerns with this plan and we will monitor it and discuss it ... with the government," Bachelet told journalists in Geneva.
"We've seen the negative impact of such policies of isolation, and (they) should not replicate these policies. Because depriving them of their liberty, isolating them, and stigmatising them will only increase their vulnerability," she added.
"They are unwanted in Denmark and they must feel that," said Integration Minister Inger Stojberg in a Facebook post after the proposal was announced.
Lindholm is 7 acres square and is currently used by scientists from the Technical University of Denmark researching swine flu and rabies among other things.
One ferry travelling to the island is named "Virus".
The centre, which will be able to hold up to 100 persons, is set to be established in 2021 and will cost 759 million Danish crowns ($115.48 million).
Parliament will vote on the proposal this month. Denmark is set to hold an election no later than June 17th next year.
(With inputs from agencies.)