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Messi returned to Barcelona from international duty with Argentina on Wednesday when he was accosted by reporters at the airport.
"The truth is that I'm a little tired of always being the problem for everything at the club," Messi was quoted as saying by Spanish media.
"On top of that, after a 15-hour flight, I had the tax authorities waiting for me. It's madness."
With one year left on his contract, Messi tried to activate a disputed clause to leave Barcelona for free in the off-season, but eventually decided to stay as he did not want to face a legal battle with the club.
Barcelona have been in turmoil since Bayern Munich humiliated the Spanish side 8-2 in the Champions League quarter-finals last season. Club president Josep Maria Bartomeu resigned last month ahead of a vote of no confidence.
Messi has also had his run-ins with the Spanish tax authorities in recent years.
He was handed a 21-month prison sentence in 2016 and ordered to pay a fine of two million euros ($2.37 million) for defrauding the Spanish government of 4.2 million euros over income earned from image rights.