Ceballos, who has a £10.5m buy-out in his contract, has played a key role in Spain Under-21s reaching the final of the Under-21 European Championships in Poland this summer.
Ceballos has claimed that he is "aware of what is going to happen after the European Championship", and the midfielder will not make a final decision until he has had a discussion with Setien.
"I am aware of what is going to happen after the European Championship," Ceballos told Marca.
"I will go and talk to Setien, as the coach told me that he wanted to talk to me personally to decide my rest period. From there I will decide my future and where I'll play next season with my family and the company that represents me."
Ceballos scored twice and registered two assists in 30 La Liga appearances last season.