I think he might do better at Arsenal. It's no real secret that Mkhitaryan does his best work when he feels comfortable and when he feels like he has the absolute trust of his team/management. If he goes to Arsenal, he isn't going to have much competition I don't think for the positions he will be played in. At United he was in a constant war with Mata and Lingard nipping at his heels. I think if he goes to Arsenal, and he becomes de-facto one of the main men at the team, we could see the Mkhitaryan that was a beast for Dortmund.
Some players, just need that unflinching confidence from their manager/coach, and I think he's one of them. I have no other way to explain how it took him so many years to emerge at Dortmund, and then to come to United and fade. If he believes he is the guy he plays like the guy if he is looking over his shoulder or has doubts, he plays that way. Athlete psychology can be weird!