Rakitic gave an interview to Mundo Deportivo, during which he revealed he'd turned down a move to PSG last summer as part of a proposed deal to sign Neymar.
Clearly upset at being offered as a potential makeweight, Rakitic said he would be the one to decide his future and nobody else.
Setien said, "I have no information that Rakitic wants to leave the club and he has not transmitted that to me. And with me he has played a lot and can continue doing it.
"I am happy with his performances and have nothing to say. We have to wait to see what happens and if he wants to leave or not. And if I have to say it, the time will come."