Despite the Azerbaijani government attempting to offer assurances over the former Manchester United star's safety, such statements weren't overly convincing and have thus left Arsenal no option but to leave Mkhitaryan in London.
"It's bad news, but we can not do anything for this issue", Emery told reporters yesterday.
"We don't feel he can travel and it's extraordinarily sad".
The concerns for Mkhitaryan's safety stem from his nationality and where the final is taking place. The two nations have been at odds ever since, and in April of 2016, they opened fire on one another, escalating a war over the land-locked mountainous region of Nagorno-Karabakh in Azerbaijan.
The Spaniard said: "It's bad news, but we can not do anything about these issues".
Emery, a three-time Europa League victor with Sevilla, indicated the decision was made by Mkhitaryan and not the club, but he understands the midfielder's reasoning. "The decision is not in my hands, but I respect him".
"I don't understand the political problems but I must respect (his decision)".
"It's the kind of game that doesn't come along very often for us players and I must admit, it hurts me a lot to miss it".
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"It is not our decision or Henrikh's but one we made together".
"There is no reason whatsoever to put in question the seriousness of these guarantees provided by Azerbaijan".
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".
"We are preparing this match like we did during an global break. We look forward to welcoming both teams in Baku shortly".
"He's a big miss for us of course, because he is a really important player", Arsenal defender Stephan Lichtsteiner added. During the first half of the season, Maurizio Sarri opted to play Morata over him.
"(Cech's) here because he deserves to be here.
Arsenal said Tuesday it reached the decision following discussions with the midfielder and his family and after "thoroughly" exploring all the options available. He was playing the last (Europa League) matches, ideal matches, with big performances. I want to enjoy with him.