The Gunners have expressed concerns over the safety of their 30-year-old playmaker ahead of a trip to Baku due to the political tension which exists between Azerbaijan and the midfielder's native Armenia.
No further light has been shed on the situation heading towards a showpiece event on May 29.
"It's political issues and I don't know what the solution is," Emery told reporters after seeing his side wrap up their Premier League campaign for 2018-19 with a 3-1 win away at Burnley.
"We want to play with every player, he worked very well [against Burnley], and we'll do all we can to play with every player and with him but I don't know the possibility [of playing] with him and the political issues.
"I don't know what the problem is between two countries but we'll do all we can to be with Mkhitaryan there.
"It's not only a sporting issue. It's not in my hands, I don't understand what the solution is."
Emery has also queried the decision to hold the Europa League final in Baku.
Emery – a three-time winner of the competition with Sevilla – will take his side to the Azerbaijani capital in a bid to lift the trophy once more and ensure qualification to next season's Champions League.
There is plenty on the line for the Gunners, but their coach is baffled as to why a fixture will be taking place almost 3,000 miles away from the homes of the two clubs involved.
He added: "I don't know exactly how the decision is made to play in one place or another place.
"I played against Barcelona in the [2015 UEFA] Super Cup in Tbilisi and it's the same. The problem is for the supporters, I prefer to play closer to England because we are two English teams and can move a lot of supporters to be with us.
"When we played in Switzerland against Liverpool with Sevilla [in the 2016 Europa League final], the stadium was full of our supporters and Liverpool supporters and it was amazing but I don't [know] really how they decided to play there.
"There's going to be only 6,000 supporters for us and Chelsea but the stadium has a capacity for 70,000 so I think it's going to be full but not with our supporters or Chelsea supporters."
UEFA has sought to address criticism aimed at ticket allocation, but questions continue to be asked of that process.