It is understood the Armenian, 30, feared for his safety on the pitch in Baku, Azerbaijan.
“Having considered all current options, we had to take the tough decision for me not to travel with the squad to the Europa League final,” said Mkhitaryan.
“It’s the kind of game that doesn’t come along very often and I admit, it hurts a lot to miss it.”
As a result of political tensions between Azerbaijan and Armenia, Mkhitaryan has missed club matches played in Azerbaijan in the past.
“We have written to Uefa expressing our deep concerns about this situation,” read an Arsenal statement.
“We have thoroughly explored all the options for Micki to be part of the squad but after discussing this with Micki and his family we have collectively agreed he will not be in our travelling party.
“Micki has been a key player in our run to the final so this is a big loss for us from a team perspective.
“We’re also very sad that a player will miss out on a major European final in circumstances such as this, as it is something that comes along very rarely in a footballer’s career.”
Uefa responded to Arsenal with a statement that said: “Working alongside Arsenal FC, Uefa sought and received assurances regarding the player’s safety in Azerbaijan from the highest authorities in the country.
“As a result of these guarantees, a comprehensive security plan was developed and given to the club.
“While the club acknowledges the efforts that Uefa and the Azeri government have gone to in this matter, we respect the personal decision not to travel with the player.”
The Azerbaijan FA (AFFA) said it was “disappointed” that Mkhitaryan would not be travelling.