The vectorial nonlinearity of a vector valued function is its distance from the set of affine functions. In 2017, Liu, Mesnager and Chen conjectured a general upper bound for the vectorial linearity. Recently, Carlet proved a lower bound in terms of the differential uniformity. In this paper, we improve Carlet's lower bound. Our method is elementary, it relies on the fact that the level sets of an APN functions are Sidon sets. We give a survey on Sidon sets in elementary abelian 2-groups. We study the completeness problem of Sidon sets obtained from hyperbolas and ellipses of the finite affine plane.