Rumors circulated earlier on Thursday that the Dagestan outfit was interested in signing the Brazilian, who has recently attracted the attention of both Chelsea and Tottenham.
However, it seems that he has set his sights on a switch to the Russian Premier League after his release clause was triggered.
"This is personal decision, and we must respect it," Lucescu told Sport Express.
"There is a club willing to pay the release clause in his contract, and Willian agreed to move. There is nothing I can do.
"To tell you frankly, I tried to convince him to stay because I think his decision is hasty and not thought out well enough. He is like a son to me.
"He came to Shakhtar almost as a child and leaves us as a 24-year-old man. I told him he would have achieved more with us when we said goodbye.
"Why did he not listen to me? I guess he was under huge pressure from his agent and his relatives that wanted to get everything at once."