Emery - a three-time victor of the competition with Sevilla - will take his side to the Azerbaijani capital in a bid to lift the trophy once more and ensure Arsenal earn qualification to next season's Champions League.
The Gunners have reached the Europa League finals this season where they will be playing against Chelsea and if Unai Emery's men can manage to win the UEL then they will get direct entry into the Champions League.
Speaking after Sunday's 3-1 win at Burnley to conclude the Premier League campaign, Emery suggested it was far from ideal to be playing the final nearly 3,000 miles away from the homes of the two clubs involved.
"It is only four teams, four teams in the final now and so we can be proud".
Tottenham overcame Ajax in thrilling fashion, with Lucas Moura notching a hat-trick in Amsterdam to send them through to their first ever Champions League final.
Supporters face costs spiraling towards a £1,000 to make the trip 2,500-mile trip to Azerbaijan, but Xhaka says Arsenal's players can only focus on what they can influence, which would be making history in a European final.
"We made a change at the break but it's a small problem".
'It is not our job to say something about this - it is one game, it is a final and the better team win.
"We want to play with every player, he worked very well [against Burnley], and we'll do all we can to play with every player and with him but I don't know the possibility [of playing] with him and the political issues". Unfortunately it's just short, but obviously what we did earlier in the week [versus Barcelona] gives us a chance to go and redeem ourselves and get a piece of silverware because I think everyone deserves a bit of silverware.
'You have to be ready in this 90 minutes and you have to be ready in this moment.
"When you think of 30 wins out of 38, at the start of the season you'd like to think that's good enough", he told the club's official website .
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