Gus Poyet's men dictated play for much of the match in Albufeira, but were unable to break the deadlock against their Primeira Liga opponents.
The hosts looked the brighter side during the early exchanges and almost took the lead in the 15th minute as Pedro Queiros forced Costel Pantilimon into a smart stop from point-blank range.
Sunderland's first sniff of goal came six minutes later when Adam Johnson whipped in a good delivery from a corner. However, Valentin Roberge could only nod the ball into the arms of Ricardo Baptista.
While Setubal started well, Sunderland gradually grew in confidence and Emanuele Giaccherini was the next to go close, as he sent a curling effort just over the crossbar from the edge of the area.
The final stages of the first half were generally controlled by the visitors and, although they could not find the breakthrough, Poyet's men almost went ahead soon after the break.
Johnson unleashed a fierce dipping drive from long range, but the effort landed on the roof of the net.
The former Manchester City man could have won himself a penalty just before the hour mark as well, but the referee ignored the protests as the score remained level.
Chances were at a premium during the final 30 minutes and, although Liam Bridcutt fired just over from 25 yards in the 84th minute, it was no surprise that the match ultimately ended goalless.
