Barca are making an attempt to buy back the Brazil attacker from PSG.
"I'd be very happy to be able to coach Neymar, absolutely," Setien told BeIN Sports USA.
"We're talking about a top-class player, no one can deny that."
"I think it's generated a lot of debate," Setien said.
"We're convinced that we can win the Champions League.
"We have to improve some things, but we're completely convinced that the team has the potential to win the Champions League."