Setien spoke to French outlet El Pais and claimed that dealing with Messi wasn't easy, with the former Barca boss reportedly telling the Argentine "If you don't like what I say, there's the door," on one occasion.
Speaking at his press conference ahead of Barca's Champions League game against Dynamo Kiev, Koeman denied that the No. 10 is difficult to coach.
For me, Leo is a very good player - the best in the world,Ronald Koeman
"For me, Leo is a very good player - the best in the world," Koeman said.
"Each day, I see his ambition and winning mentality. I don't have any difficulties getting along with him.
"For me, he's the captain. I talk to him each week about things on the pitch and in the dressing room. I don't agree with that, but I respect Setien. If he thinks like that, it'll be like that for him."
Messi has yet to score from open play for Barcelona this season, but has netted three penalties in the Champions League and La Liga.