Speaking on international duty for Spain, Costa has insisted that he is "happy in London", but admits that he does miss Atletico, who he helped win La Liga in 2014.
"I do miss Spain a little, I liked Madrid a lot and have some very happy memories there but I am happy in London now," Costa told reporters.
"I always follow Atletico and watch what they're doing - they're really strong at the moment and I am so happy for them. Atletico have been at this level for quite a few years now - battling for every trophy and beating the best sides, they definitely deserve it."
Atletico sold Costa to Chelsea in the summer of 2014 and the Spanish international scored 21 times in 37 appearances during his debut season in England, including 20 in just 26 Premier League appearances.
The controversial striker struggled to hit those heights last season, but has started the new campaign with six goals in eight appearances for his English club.