The club's chief executive Sergei Palkin said the 24-year-old Armenia international has yet to join up with his team-mates, with reported interest from Liverpool and a number of other clubs.
Palkin denied there had been any official approach from the Reds and told the player he must attend the camp or risk punishment.
"Mkhitaryan did not come to the training session yesterday but he had to - we do not know why," Palkin told Russian newspaper Sportsdaily.
"If he does not join the team in the coming days he will be fined.
"Concerning Mkhitaryan's behaviour I know that he does not have any problems with his team-mates and coaches and we have not heard from him about his intention to leave Shakhtar.
"All the questions about Mkhitaryan's behaviour should be addressed to him
"I am certain that the negotiations between them (Mkhitaryan and Liverpool) is just rumour.
"No offer for Mkhitaryan has been made at Shakhtar."