Setien declared over the weekend that Messi was "difficult to manage".
"There are implicit, veiled reproaches within the conversation," Valdano said on El Transistor.
"When you speak, either you say everything very clearly or you leave a suspicion that is very uncomfortable.
"We all know that he was talking about Messi and it doesn't leave him in a very good position in the conversation with Vicente.
"I'm of the idea that a coach is a very senior manager of a company, and what he didn't say when he was inside the company, he doesn't have to say when he's outside. That's my opinion.
"The dressing room is a very particular area, full of codes and what happens there should not be disseminated, and if it is done it must be done with total clarity, with the smallest details.
"And here there are some doubts within a speech where, for me, Messi does not look very good.
"He has experienced that intimacy; at some point he reproaches himself for not having made decisions, that he was afraid of being above the culture of the club.
"Indeed, there is a self-criticism that I find interesting, but I think that the conversation ends up overflowing a little and, in the end, it went a little further than it should. That's my point of view.
"I am of that idea. It was my turn to be a senior director of a large club and when I left I forgot everything, I never spoke again of the people I directed over at the time, much less in a critical sense."