Barca were beaten 2-1 at home by Osasuna on Thursday as the defence of their title in LaLiga officially came to an end, albeit Real Madrid's victory over Villarreal by the same scoreline rendered their result meaningless.
After the game an emotional Messi issued a rallying cry, with an eye on the second leg against Napoli to conclude a tie delicately poised at 1-1.
"We need to change a lot, otherwise we will also lose against Napoli," he told Movistar.
"I already said before that playing like this we won't be able to fight for the Champions League and you see, we could not even fight for the league. We need to be self-critical."
Setien understands Messi's message but insisted it is not all doom and gloom at Barca.
"It is true that if we play as badly as in the last matches, obviously it is not going to give us what we need to win the match," head coach Setien said ahead of Barca's final LaLiga contest against Deportivo Alaves on Sunday.
"But we have also had great moments and if we play like this it can give us what we need to win it. We are all aware that there are many things to improve, we must be more consistent and more reliable.
"This is the reality. If we manage to play a match like [the 4-1 win at] Villarreal, where everything went well, it surely gives us what we need to win the Champions League.
"We must be more reliable during the 90 minutes and convince ourselves that if we give our best level, of course we can win the Champions League. "
When questioned if he felt Messi's words were a slight on him, Setien added: "No, not at all.
"We all say things that are misinterpreted and others well, it is lived daily. I do not give it more importance. We all need a break, clean our minds. We will try to think in this sense."
Setien was only hired by Barca in January but reportedly finds his position under threat at Camp Nou.
However, he has little intention of walking away.
"The day I arrived I said that I would enjoy until the last day. I continue to enjoy despite the circumstances and I never thought that this would be easy," he said.
"Defeat is always an option to overcome. I am not living nothing that I have not lived before. At no time have I had the feeling of wanting to leave."
Speculation his position is under threat grew after Setien met with president Josep Maria Bartomeu this week.
But Setien says the meeting was just par for the course.
"It's normal that there are meetings with the president," he added.
"The meeting consisted of preparing for the future. The concern we all have for improving is evident and we are trying to find solutions."