Neymar left Barca for PSG in a world-record €222million transfer in 2017, but the Brazilian forward continues to be linked with a return.
The 28-year-old failed to make his way back to Barca at the start of the 2019-20 season and he is reportedly a transfer target again.
"Without doubt, I would love to be able to coach Neymar one day," Barca head coach Setien told beIN SPORTS.
"Absolutely. He is a player who is at an exceptional level, nobody can place that in doubt.
"I have already fulfilled the dream of coaching the best in the world, which is Leo [Messi]. As for those who could come in, we'll have to see, but I would be delighted."
Since swapping Barca for PSG, Neymar has won three successive Ligue 1 titles, to go with Coupe de France, Coupe de la Ligue and Trophee des Champions honours.
Neymar scored 13 league goals before Ligue 1 was suspended due to the coronavirus pandemic and PSG were eventually declared champions.
The former Barca forward is not the only player being linked with the Spanish giants.
Inter forward Lautaro Martinez has been tipped to join Barca, while Juventus midfielder Miralem Pjanic is reportedly wanted at Camp Nou.
"We all know that there are perhaps four of five strikers capable of playing in this role and he is one of these," Setien said when asked about Martinez.
On Pjanic, Setien added: "I've always stated that I like great players and he is a fine talent. This is true of many that are linked to the club via the press."