The Daily Mail says Mkhitaryan was absent as the rest of the United squad arrived at The Lowry Hotel ahead of the Red Devils' Premier League clash against Burnley on Saturday.
The Armenian set off to London to meet agent Mino Raiola who holds the keys to his proposed switch to Arsenal.
Mkhitaryan is expected to join the Gunners as part of the deal that will see Alexis Sanchez sign for United.
A source said: "It was very tearful. Henrikh has been a very popular figure here at United.
"We know he isn't too happy at the way this deal has been forced upon him. He realises he has more chance of playing at Arsenal, but he would have preferred to leave on his own terms."