They will take on their London rivals in Baku on May 29, in a match that has been sadly overshadowed by non-footballing matters.
Armenia international Mkhitaryan has opted not to travel to Azerbaijan due to fears over his safety, in the context of ongoing political conflict between the two nations over the disputed Nagorno-Karabakh region.
Sokratis is aware of how much Arsenal will miss the former Manchester United playmaker, but insisted that he and his team-mates are obliged to deliver the trophy for their absent star.
"Of course it's a big loss for us. We are very sad and now we have to win for him," the defender admitted.
"We have to go (there) and play our game. To believe we can do it and I think if we give 100 per cent and have a good day, and also luck, because in one game anything can happen (then) we can do it."
Arsenal boss Unai Emery has an enviable track record in the Europa League, having lifted the title in three consecutive seasons while at Sevilla.
Maurizio Sarri's Chelsea, however, battled their way to third place in the Premier League while a disastrous run of form at the end of the season saw the Gunners miss out on the top four and qualification for the Champions League.
Now only victory on Wednesday will seal a place at Europe's top table next season; a challenge that Sokratis believes his team can achieve.
"[Chelsea] have very good players and a good manager," he added.
"We respect (them) but after we plan to play our game. To play our game, to create our chances, to be focused, to defend well.
"To play altogether and in the end to win the game - it's difficult for us, but it's also difficult for them."