Inaki Williams' 93rd-minute goal condemned last season's runners-up Barca to a 1-0 defeat at Athletic Bilbao in the quarter-finals.
Barca have lost back-to-back away games under Setien, who replaced Ernesto Valverde last month, however the Spanish boss maintains the LaLiga champions are heading in the right direction.
"Taking into account what has happened to us in other games from home, we have taken a step forward in terms of what we have to improve," Setien told reporters.
"It is the same as ever; there are days when you have one chance and put it in, and there are days where you have ten and can't do it. There isn't a reasonable explanation.
"I have never known what to blame it on. Their goal came from a play that wasn't dangerous. There are things that can't be controlled and this is one of them.
"Everything went well, except for the result. I am happy with the team's work."
Setien added: "We controlled the second half. Marc-Andre [ter Stegen] didn't have any saves to make and it was a shame because we had the game under control.
"We created several clear chances and they got the goal when there was no time for us to react. We looked good and we were the better team.
"We didn't win but it will come. It is a pity the competition doesn't give us the chance for revenge but we must be positive despite not deserving to be eliminated."
Barca – three points behind LaLiga leaders Real Madrid – travel to Real Betis on Sunday.