The 29-year-old Armenia international limped off after 61 minutes of Arsenal's 4-1 win over CSKA in their UEFA Europa League quarter-final first leg on Friday (AEST).
"Mkhitaryan has a knee problem," Wenger said.
"We don't know how bad it is. He will certainly be out for Sunday."
Wenger also revealed goalkeeper David Ospina, who missed the CSKA match, had suffered an ankle sprain in training and would be sidelined for up to three weeks.
Petr Cech started in place of Ospina, who has been Wenger's preferred choice for European and domestic cup competitions this season.
"He just moved back on a shot and sprained his ankle. Alone, without any contact. Just a bad movement," Wenger said.