The Barcelona captain will see out the remainder of his contract at the Camp Nou despite handing in a transfer request last month.
"We weren't in a state to make an offer for Messi," Zanetti told TyC Sports.
"Our market is about selling first and then buying - we have to respect financial fair play.
"There was no point sitting down [for talks with Messi].
"As he's always said, Barcelona is his home, his family and, seeing how it finished, it's right that it stays like that.
"He was very clear when he said that family weighs heavy in the balance and that is delicate, very delicate.
"The finances aren't important there."
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