Former Gunners midfielder Ray Parlour sent the warning as the transfer window goes into overdrive.
Speculation regarding the striker’s future has heated up in recent weeks, as Emery looks to raise transfer funds.
As an arguably world-class goalscorer, Aubameyang is one of Arsenal’s biggest assets.
With Emery desperate to rebuild his defence, the Gunners boss could potentially raise around £80m by selling the Gabonese hitman.
Aubameyang was prolific once again last season, netting 31 goals in 51 games.
According to Italian publication TuttoSport, the former Dortmund star is open to the idea of move to United as a replacement for Romelu Lukaku.
But Parlour thinks Arsenal would be shooting themselves in the foot if they let their main striker leave.
“It would be madness to let him [Aubameyang] go, but players have got all the power these days,” he told talkSPORT.
“Aubameyang and Lacazette have been absolutely brilliant this season.
“It looks like they’ve got a really good relationship up front, you can see how they celebrate goals.
“I’d be amazed by that [if he signed for United], I really would. That would shock me.
“That wouldn’t be good from an Arsenal supporters’ point of view – we all remember when Robin van Persie left to United and they ended up winning the league the following season….
“When I go to pre-season, I’m really hoping Aubameyang is on that plane.
“Goalscorers are so important. Good ones are hard to find and he’s really proven he is a top class goalscorer.
“You want to be adding to your squad, not trying to get rid of a few players!”
Arsenal face a third consecutive season in the Europa League after a disastrous end to their most recent campaign.