The Armenian midfielder is a reported target for Liverpool, Tottenham and Borussia Dortmund and his current manager believes that moving would be a mistake
The 24-year-old is one of Europe's most sought midfielders, with Liverpool, Tottenham and Borussia Dortmund all reportedly interested in the Armenian international.
Last month Goal revealed Mkhitaryan has been identified by Brendan Rodgers as one of his top targets as he eyes a €49 million splurge in the summer transfer market.
But Lucescu is at a loss to explain why Mkhitaryan would want to leave the club which has helped him achieve continental recognition.
"I do not want to give comments. It's his decision, his desire. I think he is making a big mistake," Lucescu told Terrikon.
"Shakhtar are a strong club. And behind you is always 50,000 fans who will support you. We play as a team, which is each year fighting for the championship, for the cup and for the Champions League - he has to appreciate it. The whole team helped him to show up in the penalty area and score.
"He is very well thought of. There is still time. I would not want him to show the level that he showed before he played for Shakhtar. I just encourage him to return to the team and go to work. Nothing happened between him and the management, between him and the other players.
"We all helped him. Perhaps even more than all the rest. When he played in the championship, I had rarely changed, helping him to win the title of top scorer in the championship. And if he is in a club that surpasses [Shakhtar], I understand his wish."
Shakhtar have already sold midfielder Fernandinho to Manchester City and forward Willian to Anzhi Makhachkala this transfer window.