Arturo Vidal scored the decisive goal in the 15th minute with Messi claiming his 20th league assist of the season in the process.
Despite dominating possession, Setien's side struggled to wrap up the victory with Messi forced to play the full 90 minutes.
With Barcelona still within touching distance of La Liga leaders Real Madrid, their manager admitted that though Messi needs a break, games like the one against Valladolid aren't the right time to sacrifice him.
"Of course," Setien said post-match when asked whether Messi needed a rest. "I've said it before, but the score was too tight.
"If we'd have scored more goals in the first half, maybe more players would've been rested. The team was tired.
"They had players up front with quality and committed men forward. We couldn't cover the whole pitch. We had to drop back and that made it more difficult for us.
"We should've put the match to bed in the first half - we could've scored two or three goals. [There was] the anxiety of knowing that you're only 1-0 up and that they can score at any moment.
"In the second half, we struggled. We noticed fatigue in some players to a point."
— Goal (@goal) July 11, 2020
Luis Suarez was given a rest on Saturday with the Uruguayan striker named on the bench and ultimately coming on just after half-time as Antoine Griezmann was forced off.
"It's good to give him a rest," Setien said about his decision not to start Suarez.
"Suarez had played five full games in a row and had to rest at some point. [Griezmann] came off because of some [injury] problems. He asked to come off himself."
"We're doing enough to be better than where we are," Setien added. "I don't know if [it's enough] to win La Liga because [Real Madrid] are winning all their games.
"We've done enough [against Valladolid] and we've created lots of chances and we weren't clinical enough in the end."