Can sebaceous cysts bleed?

Unusual. Can bleed if the infection ruptures thru skin but you may want to have it seen to make sure it is just a cyst. If so, a surgeon can excise it for you.
If traumatized. It would be rare for a cyst to bleed unless infected or traumatized in some way. A bleeding lesion should be examined and biopsied by your physician.

Related Questions

What can I do for a sebaceous cyst?

See your doctor. It should be opened and drained, especially if it shows any signs of infection (tenderness, draining, heat). If it's not draining or painful and you don't mind the look of it it can be watched (if indeed this is a correct diagnosis).