Despite only moving to Madrid last summer, Ceballos has been linked with a return to Betis.
Setien said: "Before leaving in the summer, I told him that I thought it would be great if he signed for Real Madrid, it meant a lot of growth in his status, but he knew the difficulties that were going to exist.
"The reality is that it is difficult to play for Real Madrid, I tried to convince him to continue this year and help us, it is the same feeling I have now, Dani was excited to play more and he is not doing it, there is a World Cup ahead, and it is difficult without playing.
"His life and his future and we have talked about that, he could make Julen complicated, but he must play for that, he has always expressed his affection towards the club, we are evaluating those circumstances, it is not clear.
"It is clear that if Madrid allows it, Betis is perfect to help him and he wants to come."