Setien was sacked by Barca following a tumultuous 2019-20 season which saw the club dethroned by bitter rivals Real Madrid in LaLiga and humiliated 8-2 by Bayern Munich in the Champions League quarter-finals.
Former Real Betis boss Setien was replaced by Ronald Koeman at the end of the campaign, having only filled the void left by Ernesto Valverde in January.
Setien hailed Messi but reflected on a difficult period with the six-time Ballon d'Or winner in Barcelona.
"I think Messi is the best of all time," Setien told El Pais. "There have been other great players who have been great, but the continuity that this boy has had throughout the years has not been had by anyone.
"Leo is difficult to manage. Who am I to change him! If they have accepted him as he is for years and have not changed him.
"There's another facet beyond just the player and it's more difficult to manage. Much more difficult. It's something inherent in many athletes that can be seen in the Michael Jordan documentary ['The Last Dance']. You see things you don't expect.
"He's very reserved but he makes you see the things that he wants. He doesn't talk much."
Setien, who has announced legal action over the handling of his Barca dismissal, 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."