Mkhitaryan will not be traveling with Arsenal to the final in Azerbaijan, due to him being Armenian.
There are historic and current tensions between the two countries, which means Armenians cannot freely travel to Azerbaijan.
While Mkhitaryan's safety was guaranteed by Azerbaijani officials, he took the decision to stay home instead.
"I discussed this with Mkhitaryan," said the Arsenal manager to reporters.
"It's a very personal decision. He wants to play with the team, but he spoke with his family and decided not to go.
"It's bad news, but we cannot do anything about these issues. It's a very, very personal decision and we need to respect him. I don't understand the political problems, but I must respect (his decision).
"I spoke to him. I came from the Basque country, where we had a big political problem there, finishing five or six years ago. This is a very personal decision; I cannot push him to come with us.
"For him and for me, it's very important to (have his) help with his quality and his capacity, but these issues are out of my hands and I understand 100 per cent."