Sources have since told ESPN that the framework for an exchange -- which would see both players move in separate deals to allow the clubs to balance their books for the financial year -- is in place but that Arthur's reluctance to move to Italy is holding up an agreement.
Reports on Tuesday, hours before Arthur started Barca's 1-0 win against Athletic Bilbao, claimed Juve have agreed to pay €80 million for Brazil international, with Setien later conceding the speculation has become a cause for concern.
"If that's the case [that a deal is agreed], maybe it's affecting him," the Barca coach told a news conference after the Athletic game. "But I am happy with the work he's doing. He's an important player for us and we're trying to get best out of him.
"In these situations, we try to isolate ourselves from what's [being said]; things we can't control. We will speak with him to keep him focused. I understand it's a complicated situation but we have to be above it."
Arthur, 23, only joined Barca in 2018 from Gremio and sources close to the player have reiterated time and again that he wants to remain in Catalonia.
He was given a chance to make his case on the pitch on Tuesday but lasted less than an hour before being replaced by Ricard Puig. The young midfielder was one of three substitutes, along with Ivan Rakitic and Ansu Fati, who helped turn the tide in Barca's favour.
Rakitic went on to score the winner in the 71st minute against the Basque side, but it was youngsters Puig and Ansu who Setien reserved special praise for.
"We weren't good with the ball in the first," Setien said. "We lost it too much but in the second half, we were a lot better. Ansu and Riqui came on and gave us a little more dynamism. They helped us move forward and have longer spells of possession.
"Sometimes you can have doubts about the contribution of these kids in important games, like the ones we have at the moment, but they are doing well and will have chances to play more minutes."
The win took Barca back to the top of the table on 68 points with just seven games remaining. Real Madrid, who are three points behind, will return to first place thanks to their superior head-to-head record if they beat Mallorca in their game in hand on Wednesday.