Manchester United go up against Anderlecht on April 13 aiming to reach the semi-finals.
Jose Mourinho's men are determined to lift the trophy for the first time in the club's history.
Mkhitaryan was absent when United beat Southampton 3-2 to win the EFL Cup in February.
The Armenia international is keen to triumph in Europe to make up for missing out on their earlier cup win.
Henrikh Mkhitaryan is determined to win the Europa League
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United are strong favourites to reach the last four with supporters confident of victory.
But Mkhitaryan has told fans it will not be easy and the club are focused on getting the job done.
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"It is one of my goals for this season – to win the Europa League," he told United Review.
"Of course, I know it is not going to be easy, particularly at this stage of the competition as there are no easy opponents.
Henrikh Mkhitaryan missed the EFL Cup final through injury
"Obviously, we understand the importance of the tie with Anderlecht in the quarter-finals.
"We know that we are going to have two very tough games and, of course, Anderlecht are not easy opponents.
"I realise some people think: ‘Ah, we’ve got Anderlecht, so it is going to be easy to beat them’ but it is not like that.
"I know this because I have watched some of their games during their participation in Europe and I can say they are playing very well and they have very good with players of high quality."