Hostility remains over the disputed Nagorno Karabakh region, where a ceasefire was declared in 1994 after fighting erupted several years earlier.
Arsenal said in a statement: "The safety and security of our players is of paramount importance.
"We are seeking guarantees from Uefa that it will be safe for Henrikh Mkhitaryan to travel to Baku for the Europa League Final, which both Arsenal and Micki require for him to be included within our squad.
"Acceptable guarantees have not been received yet, and we hope that Uefa will be able to supply these promptly. We are of course hugely concerned that the location of the final could lead to Micki not being able to play in a European final."