Mkhitaryan's well-being was a concern for Arsenal due to the dispute between Armenia and final hosts Azerbaijan.
The Premier League club have now decided against Mkhitaryan travelling with the rest of Unai Emery's squad for next Wednesday's game.
"We are very disappointed to announce that Henrikh Mkhitaryan will not be travelling with the squad for our UEFA Europa League final against Chelsea," an Arsenal statement announced on Tuesday.