Baku is the capital city of Azerbaijan, which is in an ongoing geo-political conflict with Mkhitaryan's native Armenia.
The issue between the two countries stems from the Nagorno-Karabakh conflict, which has been a territorial and ethnic conflict since 1988.
Arsenal have sought assurances from UEFA regarding Mkhitaryan's safety in Baku, but are not confident, according to a report in .
It is understood that there is significant anger in the playing camp that one of their teammates will not be able to play in such an important match.
On top of the chance to win a European trophy, the winner qualifies for the group stage of next season's UEFA Champions League which would bring in approximately £60 million ($111M).
Mkhitaryan missed Arsenal's trip to Azerbaijan earlier in the season when they faced Qarabag in October. He has also missed a match against Azerbaijani side Gabala in 2015 with Borussia Dortmund.