Nagorno-Karabakh is a region of Azerbaijan which has been under the control of ethnic Armenian forces backed by Armenia since a war there ended in 1994.
"But we understand his decision because it is unsafe for him".
Despite receiving assurances aimed at allaying those fears, Mkhitaryan has chosen not to travel to Baku following discussions with the club and his family.
UEFA have come under fire for choosing to host the final in a nation where a player's safety could not be guaranteed.
"I think UEFA needs to know about the different problems they can have with the politics in the country".
In her press gaggle, Armenia's Foreign Ministry spokesperson also commented on the Mkhitaryan situation, saying that Azerbaijan had an "opportunity to show how real it is to prepare the people for peace".
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"It's the kind of game that doesn't come along very often for us players, " Mkhitaryan said on his social media channels, "and I must admit, it hurts me a lot to miss it".
The Chelsea legend admitted both players would have been useful in Baku due to their ability to break the opposition down and stressed their key contributions that helped the team to the final this term.
"There is no reason whatsoever to put in question the seriousness of these guarantees provided by AzerbaiJanuary Over the past decade a large number of Armenian athletes have taken part in various worldwide sports events in Azerbaijan without any issues", the Affa said.
Arsenal called UEFA's failure to allay Mkhitaryan's fears "unacceptable" and will have it out face to face with officials of the governing body after the final.
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"We at all times put the sport as something very separate from these political issues and of course the same issue is again with Mkhitaryan", Azerbaijan Sports Minister Azad Rahimov said last week.
"For him and for me, it's very important to (have his) help with his quality and his capacity, but these issues are out of my hands and I understand 100 per cent".
However, in a statement released on Tuesday, Arsenal said that Mkhitaryan will not be part of the group which goes to Baku.