Armenia and Azerbaijan don't talk to each other because of a long standing dispute over who owns the Nagorno-Karabakh region.
As a result of this conflict, Azerbaijan usually doesn't allow people from Armenia to enter the country.
Mhkitaryan is the Armenia captain and has concerns over his safety if he goes into Azerbaijan.
In October, he missed Arsenal's game against Azerbaijan champions, FK Qarabag.
He wants to play with the team, but he spoke with his family and decided not to go. It's a very, very personal decision and we need to respect him. I don't understand the political problems but I must respect his decision.
Unai Emery, Arsenal manager
In response to Mhkitaryan and Arsenal's decision, Uefa said: "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."