The Gunners want to recoup £17million for the Switzerland international and the Serie A side are yet to stump up the money.
On Wednesday morning, Xhaka posted a farewell message to Switzerland boss Vladimir Petkovic.
Alongside two pictures of him hugging Petkovic, Xhaka wrote: "What a journey! Mister, I just want to thank you for everything.
"We made history together! It's been an unbelievable journey - thank you for all your hard work, for your support and for the way you have shaped a national team into a group of brothers.
"We won't forget your work and we wish you all the best in Bordeaux."
Not long after the message had been posted, Mourinho responded on his personal Instagram account. The Portuguese simply commented three clapping hands emojis under Xhaka's post.
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