Messi set up Arturo Vidal's 15th-minute goal on Sunday (AEST) as Barca moved back within a point of rival and LaLiga leader Real Madrid, which has a game in hand.
But the superstar attacker played 90 minutes as Barca's busy schedule continued and Setien said afterwards that Messi needed a rest.
"He probably will get a rest, yes," the Barcelona coach said.
"I've mentioned it to him previously and perhaps today if we'd got a couple more goals, as I think we deserved, he probably would have come off to get a little bit of a rest."
Antoine Griezmann and Luis Suarez, meanwhile, each played 45 minutes, with the Uruguayan replacing the France international at half-time.
Setien, who said Griezmann had taken a "knock", feels Barca was tired after a third game in the space of a week.
Only that could be used an an explanation for Griezmann missing an absolute sitter in the 19th minute that would have put Barcelona 2-0 up against Valladolid.
"I think it's mostly tired legs. It's less than 72 hours since we played our last game," Setien said.
"It was very hot today and the pitch felt a lot bigger towards the end of the match. You could see that, a lot of players were not looking fresh on late in the game and they probably lacked that touch of intensity.
"We've played many games and it's very draining and we have quite a few players who've played a lot of minutes so we can't blame our football, I blame mostly our tired legs for today's game.
"Sometimes that can affect your decision making, but this is normal for the current situation we're in."