According to British newspaper 'The Times', the Armenian was confused and unhappy at not being in United's squad for the 4-1 victory over Fenerbahce on Thursday.
Mkhitaryan picked up a thigh injury when playing for his country in September, but was said to be fit for Thursday's Europa League tie.
The 27-year-old has been a peripheral figure for United this season and has started just one Premier League appearance, coming on as a substitute in another three.
Despite winning the Bundesliga Player of the Year last season, Mkhitaryan appears to be struggling to adjust to English football. Will he eventually come good or will the former Dortmund man be an expensive flop?