"I respect everyone's option but, for me, Leo is the best player in the world," Koeman said in a news conference ahead of Wednesday's Champions League game against Dynamo Kiev.
"I see the ambition he has and his winning character every day. He's not a player I have difficulties with. He's the captain and I speak with him every week about things on the pitch and things in the dressing room to [maintain] a good relationship with him.
"I see things differently and I am not in agreement with Setien, although I respect his opinion. If that's what he says, that's how it is for him."
Messi has scored three goals in eight games this season but they have all come from the penalty spot. He is without a goal in La Liga in five matches.
Messi and Barca's profligacy in front of goal has seen them pick up just two points from their last four games and Koeman said he accepts the criticism that comes with that even if he feels performances have been positive.
"I have said various times that we need a No. 9 but it depends on the club's financial position in January," Koeman said.
"We have to wait. I don't want to force it because I came here knowing the financial situation. If it's not possible, it's not possible, we will keep working with what we have got."
While Barca's worst start to a La Liga season since 2002-03 has them in the bottom half of the table, things have gone slightly better in the Champions League so far.
"We saw with Shakhtar [Donetsk] beating Real Madrid that the level doesn't necessarily drop," Koeman said.
"Shakhtar had a lot of players out with coronavirus and they won the game so we should not expect Kiev's level to drop too much. We have to respect them and we will have to play well to win the game."
Barca could welcome back Marc-Andre ter Stegen against Kiev. The goalkeeper has not played yet this season but is back in training and could be in the squad which will be announced on Wednesday.