Barcelona failed to win silverware and Messi attempted to force through an exit in the summer, which was eventually blocked by the club.
Setien gave an insight into what it’s like to manage Messi and compared him to basketball great Michael Jordan.
And he confessed it was challenging to manage someone with six time Ballon d’Or winner Messi’s CV.
‘I think Messi is the best of all time,’ Setien told El Pais.
‘There have been other great players who have been great, but the continuity that this boy has had throughout the years has not been had by anyone.
‘Leo is difficult to manage. Who am I to change him! If they have accepted him as he is for years and have not changed him.
‘There’s another facet beyond just the player and it’s more difficult to manage. Much more difficult.
‘He’s very reserved but he makes you see the things that he wants. He doesn’t talk much.’
Things haven’t improved much since Setien’s departure. A 1-1 draw with Alaves saw them fail to win for a fourth consecutive La Liga match.
They are 12th in the table and eight points behind league leaders Real Madrid.