The squad had spoken about how they could show support for their Armenian team-mate, who feels he is not able to travel to Azerbaijan for security reasons.
Wearing shirts with Mkhitaryan’s name on the back for the warm-up was discussed.
But UEFA insiders have confirmed any such moves are prohibited by strict rules.
The kit the players wear during the game — as well as any potential post-match winners’ T-shirts — are subject to approval by European football’s governing body, too.
Staff at Arsenal are wary of making a statement about Mkhitaryan in Baku, where there are long-standing political tensions with Armenia.
They do not want to invite hostility, so it appears the final will pass without a tribute to the 30-year-old, who will be watching at home.