Armenia international Mkhitaryan has not travelled to previous games played in Azerbaijan for Arsenal and his former club Borussia Dortmund amid ongoing tensions between the countries.
A conflict over the disputed Nagorno-Karabakh region means there are no diplomatic relations between Azerbaijan and Armenia, with Armenians needing special permission to travel to Azerbaijan.
Earlier this season, Mkhitaryan did not travel to a Europa League game at Qarabag with Arsenal, having previously missed a tie at Gabala while playing for BVB in 2015.
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"The safety and security of all our players is of paramount importance," an Arsenal statement said.
"We are seeking guarantees from UEFA that it will be safe for Henrikh Mkhitaryan to travel to Baku for the Europa League final, which both Arsenal and Micki require for him to be included within our squad.
"Acceptable guarantees have not been received yet, and we hope that UEFA will be able to supply these promptly.
"We are of course hugely concerned that the location of the final may lead to Micki not being able to play in a European final."
The Nagorno-Karabakh region, along with adjacent territory, has been under the control of Armenian soldiers and local ethnic Armenian forces since a 1994 ceasefire ended a six-year war, but violence continues to break out.