Hi Siddarth - Its platform limit. You can't create following fields in custom settings Formula,Picklist and relationship fields(lookup and master detail).
As I know custom setting data know as static data and user can change and this data no't depend on other data thats why lookp up field is not there. IF there will be look up field then it's mean current data depent on other data of other data has some depenendcy on other and then we want look up than why not we can use object instead of custom setting.
As I know custom setting data know as static data and user can change and this data no't depend on other data thats why lookp up field is not there. IF there will be look up field then it's mean current data depent on other data of other data has some depenendcy on other and then we want look up than why not we can use object instead of custom setting.