The Gunners striker, 31, was set to be in the squad for the FA Cup fourth round clash at St Mary's.
But after travelling down with the squad, he had to go back home to deal with a personal issue this morning.
Gunners boss Mikel Arteta said: "He had a personal matter in the last few hours and we had to send him back."
It is not known what the problem is, and the Gunners are unlikely to announce anything new after the 1-0 loss.
Asked if Aubameyang will be fit for Tuesday's Premier League game against Saints, Arteta wasn't sure.
"I don't know. He needs to address that issue and see how it evolves. We're here to support him and he needs to take the time that is needed because that's a priority at the moment."