The pair's relationship became strained towards the end of last season as Barca began dropping points and ultimately lost La Liga to Real Madrid.
And in one particular incident away at Celta Vigo, Messi refused to take instructions from Setien's assistant coach, Eder Sarabia, during a water break, leading to a stand-off between both men.
Setien, speaking on the Què T'hi Jugues broadcast, said of his relationship with the 33-year-old: "Messi is difficult to manage. Who am I to change him!
"He is very reserved but he makes you see the things he wants. He does not talk much. Yes, look, look..."
And after Messi had allegedly asked the coach to respect the players who had won a number of titles, Setien responded with: "If you don't like what I say, there is the door."
Setien would be fired from his position just a few weeks later and Messi would ultimately look to force his way out of the club, a move that, in the end, failed to materialise.