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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 …