 Setién began working as a manager on 5 October 2001, succeeding the dismissed Gustavo Benítez at a Racing side that had started poorly following relegation to Segunda División.He took the team from 17th to promotion as runners-up to Atlético, but left at the end of the season due to pressure and handed the reins to his former teammate Manuel Preciado.For the 2003–04 campaign, Setién returned to the second division with Polideportivo Ejido.