The Paris Saint-Germain forward registered 106 goals in 185 appearances for Barca before departing for the French capital, but the Brazil international has been linked with a return to Camp Nou in recent months.
Speaking to beIN SPORTS, Setien said: "Without doubt, I would love to be able to coach Neymar one day.
"Absolutely. He is a player who is at an exceptional level, nobody can place that in doubt.
"I have already fulfilled the dream of coaching the best in the world, which is Lionel Messi. As for those who could come in, we'll have to see, but I would be delighted."
Despite suggestions linking Neymar with a sensational return to Catalonia, the player's agent expects PSG to keep hold of the 28-year-old this summer. body check tags ::