Sky Sports reported on Tuesday that Juve had agreed an €80million ($92m) deal with Barca, but must still convince the midfielder to join.
Arthur was substituted early in the second half as Barcelona edged Athletic Club 1-0 in LaLiga.
Setien said the speculation surrounding the midfielder's future could be impacting the Brazil international's performances.
"If this is the case I'm sure it's affecting him, yes," he told a news conference.
"I'm very happy with what he's doing, he's an important player for us and we'll try to get the best out of him.
"Given how things are we need all of our players and we'll try and isolate ourselves from this situation and the media who are reporting on and talking about these rumors.
"We need him to be focused. It's true it is a difficult situation but we have to overcome it somehow."
Arthur has made 27 appearances this season for Barcelona, who moved three points clear of rivals Real Madrid atop the table.