It is a mentality issue, but not the kind a lot of people think it is. From my perspective, it has nothing to do with pressure. It has everything to do with confidence, confidence of the manager and support of the manager. If you follow his career, the guy has struggled when people didn't believe in him, but once the manager said "right, you're the guy, I have 100% faith in you, go out and play" he hit his stride.
Is that a good fit for United? I don't know, probably not, because while I think Mkhitaryan is a very good player, I don't think for United he is an untouchable player. For Mkhitaryan to thrive, he needs to be pretty much untouchable in the pecking order. Will he get that at Arsenal? Maybe. Maybe more than here? Maybe he will feel like he has more support from the manager at Arsenal? I don't know. What I do know is, Mkhitaryan seems like a player that needs to feel like he is appreciated, needed, and useful. It took awhile for him to get that at Dortmund, and when he did get it, he became the player we bought. Did he ever have that here? Probably at the beginning, but his inconsistency called him into question, and then it was a slipery slope.
I like Jose as a manager, but I don't think he is necessarily a great man manager when it comes to soothing ruffled feathers.