Setién was full of praise for Messi in an interview with Vicente Del Bosque published in Sunday's edition of El País but reflected on a difficult period with the six-time Ballon d'Or winner in Barcelona.
Setién, who has announced he will be taking legal action over the handling of his dismissal at Barcelona, added: "After leaving what I am clear on is that at certain times should have made other decisions, but there's something above you: the club. And it is above the president, the player, the coach. It's the club and the fans. They are the ones to whom you owe the greatest respect, and you have to do what is most convenient for the club as a whole."