In Operational Modal Analysis, the modal parameters (natural frequencies, damping ratios and mode shapes), obtained from Stochastic System Identification of structures, are subject to statistical uncertainty from ambient vibration measurements. It is hence necessary to evaluate the uncertainty bounds of these obtained results. To obtain vibration measurements at many coordinates of a structure with only a few sensors, it is common practice to use multiple sensor setups for the measurements. Recently, a multi-setup subspace identification algorithm has been proposed that merges the data from different setups first to obtain one set of global modal parameters. This paper proposes an algorithm that efficiently estimates the uncertainty on modal parameters obtained from this multi-setup subspace identification.