The hosts struggled to break down their opponents until Robin Le Normand was penalised for handball inside his own penalty area after a VAR review, with Lionel Messi converting the resulting spot-kick.
"We knew that it would be a tremendously difficult game, [Real Sociedad], I think, had won their last six games, [including] one at the [Estadio Santiago] Bernabeu," Setien said.
"They're in the Copa [del Rey] final, they're good on the ball, they never give it away.
"If they press you well, they can hurt you. They've got quality players.
"Apart from certain phases, we controlled the game. Then, we had difficult moments, but we created danger.
"We won thanks to VAR.
"I didn't see [the penalty incident] from the bench, I was far away."
Barcelona lacked creativity for large parts of the game and Setien pointed to the team's impatience as a factor in this.
"Patience is needed to create goalscoring chances," he noted.
"Sometimes we want to finish quickly. This rush causes us to lose the ball and be countered on.
"The players want to go forward. Teams like [La Real], that press high, provoke these counters and spaces.
"We tried to control the game, but it's not easy. We will have to improve."