We investigate the excitonic dynamics in MoSe2 monolayer and bulk samples by femtosecond transient absorption microscopy. Excitons are resonantly injected by a 750-nm and 100-fs laser pulse, and are detected by a probe pulse tuned in the range of 790 - 820 nm. We observe a strong density-dependent initial decay of the exciton population in monolayers, which can be well described by the exciton-exciton annihilation. Such a feature is not observed in the bulk under comparable conditions. We also observe the saturated absorption induced by exciton phase-space filling in both monolayers and the bulk, which indicates their potential applications as saturable absorbers.