Same. I upgraded with the intention to use the Ethernet tethering on android 11. Can't find any explanation or reason for why the function has been omitted. Seems like I'll have to return and find a non-Xiaomi.

I have the same problem 
This is stuiped to not have that option in MIUI 12.5 !

One of the things I was intending to use when I upgraded my phone to android 11 was the ethernet tethering Android 11 has added. However the Xiaomi version of A11 does not seem to have it as an option?

Does anyone know why this is?

Ethernet Tethering not available in Xiaomi Android 11?