In this paper, we introduce a novel OFDM-aided multifunctional multiple-input multiple-output scheme based on multi-set space-time shift keying (MS-STSK), where the information transmitted over each subcarrier is divided into two parts: STSK codeword and the implicit antenna combination (AC) index. In MS-STSK, a unique combination of antennas can be activated at each subcarrier to convey extra information over the AC index while additionally transmitting the STSK codeword. Furthermore, inspired by the MS-STSK concept, this scheme is extended also to the frequency domain in the novel context of our multi-space-frequency STSK (MSF-STSK), where the total number of subcarriers is partitioned into blocks to implicitly carry the block's frequency index. The proposed MSF-STSK scheme benefits from the huge bandwidths available at mmWaves for partitioning the total number of OFDM subcarriers into blocks to convey more information over the frequency domain. Both proposed systems use STSK codewords as the basic transmission block, and they can achieve higher data throughput and better BER performance than STSK. Moreover, given that the system is meant to operate at mmWaves, antenna arrays relying on several antenna elements are employed at both the transmitter and receiver for analogue beamforming with the aid of phase shifters and power amplifiers to overcome the effect of high path loss.