Henrikh Mkhitaryan will not travel with Unai Emery's squad due to concerns over his safety, which leaves the Gunners without a regular performer for a crucial all-English showdow with Chelsea.
UEFA were unable to guarantee his safety and thusly, the Armenian made the decision to remain in north London while his teammates make the trip across Europe.
Arsenal fans have shown their support for Mkhitaryan since the announcement was made, launching a petition to get the final venue moved before May 29.
The squad also planned to wear shirts with the 30-year-old's name on the back during their pre-match warm-up, but UEFA have forbidden such a show of unity.
Leno is the latest Gunners star to speak out in support of Mkhitaryan, confessing that the whole debacle makes him feel "sad".
"It's a scandal that he cannot play because of that, he works hard all season and cannot come to such a final for political reasons," he told Kicker.
"I'm just sorry for him [Mkhitaryan]."
Leno also weighed in on the lack of seating for supporters of Arsenal and Chelsea in Baku, with each club only granted 6,000 tickets respectively in the 68,000 seater Olympic Stadium.
He added on calls to boycott the event: "The club wants the title, they want to go to the Champions League, and if Arsenal and Chelsea refuse, they would probably be excluded from UEFA. That's not so easy."
Petr Cech will likely start between the sticks against his former club, having been a fixture in Emery's Europa League line up since the group stages.
Leno has been number one in the Premier League, however, and is happy to see his teammate take in a final appearance for the club on Wednesday night ahead of his retirement from football.
The 27-year-old also talked up the importance of victory over the Blues, with a place in next year's Champions League up for grabs for the Gunners.
"I have great respect for Petr, and we get along very well," said Leno. "He deserves all credit, and I treat him well, but it's clear that I'm an athlete, I want to always play, especially in a final.
"To win the Europa League would be the first big title for me. We all want to hear the [Champions League] anthem again.
"The Thursday-Sunday rhythm is also not so good because you always suffer in the league. If we lose the final, our season, which was actually good, would be disappointing."