The Armenia captain has decided against playing in Baku on safety grounds.
Aubameyang said: “We know it is a big shame but we respect his decision. It is not easy for him to go there because of political problems. It is a big shame but now we have one more motivation to win.
“Everybody here wants to be back in the Champions League. That's been the target since the beginning of the season."
Gunners goalkeeper Petr Cech said, “I feel sorry for him [Mkhitaryan] but we can make him feel happy if we win the trophy, because he played a big part in us reaching the final. It has been a very hard decision. Every player wants to be part of a team that plays in a final. He is not injured, he is fit, he helped us to go all the way."