This comes after France Prime Minister Edouard Philippe announced on Tuesday that all sporting activities across the country are banned until at least September.
The Parisians have qualified for the Champions League last eight after eliminating Bundesliga side Borussia Dortmund in the round of 16, shortly before football was suspended due to the outbreak of the coronavirus pandemic.
With the competition slated to resume in August, Al-Khelaifi has vowed PSG will chase their first Champions League trophy, despite respecting the decision of the French government.
"We respect the decision of the French government," said the 46-year-old, in a statement reported by French outlet L'Equipe.
"With agreement of UEFA, we intend to take part in the final phase of the Champions League in the places and dates where it will be organised.”
"If it is not possible to play in France, we will play our matches abroad and we will make sure of the best conditions of health security for our players and all our staff."
Another Ligue 1 outfit Olympique Lyonnais are still in the Champions League, having won the first leg 1-0 against Juventus at the Groupama Stadium in February.
The second leg in Turin was postponed, as the Bianconeri defender Daniele Rugani tested positive for Covid-19 just days before the game.
Les Gones are yet to disclose their plans for competing in the Champions League but will likely follow PSG’s lead.