Cadena SER reported on Thursday night that the Barca captain has broken off negotiations over a new contract and has decided to walk away when his current deal runs out in 2021.
"I won't speculate about that because I haven't heard him [discuss it]," Setien said in a press conference on Saturday. "I don't know if he has even said anything."
Asked how Messi was doing, he said: "He looks good to me. All the rest is speculation. We talk about what we have to talk about and no more."
Messi is the only Barca player to have played every single minute since LaLiga restarted last month, completing all six games so far.
"He's perfectly aware of what he has to do in each moment," Setien said. "I don't think his age affects him. He looks exactly the same to me."
Barca are four points behind Real Madrid with five rounds of LaLiga remaining and Setien's side are in action away to Villarreal on Sunday.