Luis Suarez scored a brace but Barca were twice unable to hold onto a lead on Saturday, despite dominating for long periods of the game.
They were impressive in the first half in particular, youngster Riqui Puig catching the eye on his first league start of the season, but only led 1-0 at the break.
Setien felt the performance in the first 45 minutes deserved more with Barca denied by the woodwork when a Gerard Pique header hit the crossbar prior to Suarez's opener in the 20th minute.
"They took a lot of risks in the last few minutes and they found a goal that gave them a point," Setien told the media.
"We should not have got into that situation because we were much the better team in the first half. We had to have gone in at the break with a more comfortable scoreline.
"We're not in that moment of clarity.
"We did a lot of things well. It should have been a more comfortable game.
"We definitely lack conviction to turn our play into goals. The superiority we had in the first half was enough to have won the match and gone into [the second] more relaxed.
"We're finding it difficult. Scoring is sometimes a question of luck."
Iago Aspas' late free-kick denied Barcelona victory on the road. While the point picked up is enough to take them top for now, Real Madrid have the opportunity to leapfrog them when they face Espanyol on Saturday.
Zinedine Zidane's squad also have the added cushion of owning the better head-to-head record against their rivals this season.
Setien acknowledges that Barca may now require help from others if they are to retain their crown in Spain.
"We've got little margin for error now and, in theory, we have to win all our games and hope our rival slips up," he admitted. "We'll try to keep picking up maximum points."
Next up for Setien and his players is Atletico Madrid at Camp Nou on Tuesday.