Zidane hauled off Ronaldo with 20 minutes to run, infuriating the superstar in the process.
But the Frenchman has the support of Setien, who told Radio Marca: "A coach who is not brave, who does not do the things he should do and where he believes, probably eventually loses the rest of the locker room.
"And I do not know what is most important, losing a player or the rest of the locker room.
"They pay you to win, not for a player to be the best. He can ensure that Cristiano Ronaldo is happy, but if the team does not follow behind him, then eventually all will lose, the team will be unbalanced and he will be fired. So it's clear what he did."