Eden Hazard has been linked with a move to Real Madrid and Willian would be sad to see his Chelsea team-mate depart.
Madrid are thought to be keen on sealing a close-season deal for Hazard, who only has one year remaining on his contract at Stamford Bridge.
The Belgium international, who this month confirmed he had decided his future and informed the club, could therefore make his final appearance for Chelsea in Wednesday's Europa League final against Arsenal in Baku.
Asked if it would be good to send Hazard out with a trophy, a smiling Willian told Sky Sports: "It's difficult to say [anything] about this situation because we do not know what is going to happen.
"What I can say is if he goes, I am going to be very sad."
Winning the Europa League is Arsenal's last chance to qualify for next season's Champions League, but Cesar Azpilicueta hopes to claim the title with Chelsea for the second time.
"It's a trophy, it's big for them because it means they'd go into the Champions League. It's a trophy, it's a derby obviously so we're looking forward to it," said Azpilicueta.
"It means a lot [to lift the trophy as captain]. I'm hungry for success, to win the Europa League. The Europa League was my first trophy with Chelsea in Amsterdam [in 2013] and this one would mean a lot. Hopefully we can win it."