Costa, Chelsea's leading goalscorer this season, was linked with a big-money move to the Chinese Super League during the January window.
Reports suggest the Spain international will look to force a move away in the summer, but Cerezo is confident Chelsea will stand firm.
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Chelsea will not sell Diego Costa this summer
Costa has scored 15 goals for Chelsea this term to guide Antonio Conte's side to nine points clear at the top of the Premier League.
The Atletico chief told Cadena Cope radio: "It has been a while since I spoke to [Costa]. He is at a great club.
"They [the media] say he will go to China, but Chelsea will not allow him to leave."
Most valuable Chelsea players
Mon, January 16, 2017
Click through the gallery to reveal the five most valuable Chelsea players according to CIES Football Observatory stats
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Click through the gallery to reveal the five most valuable Chelsea players according to CIES Football Observatory stats
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Enrique Cerezo wants Diego Costa back at Atletico Madrid
Costa scored 64 goals for Atletico in 134 appearances before joining Chelsea in 2014, and Cerezo hopes he can one day bring him back to the La Liga club.
He told Cadena Ser radio: "I would love for Costa to return but it's not easy. He plays for a strong team, a team that is likely to win the Premier League.
"I don't think the big teams will allow their top players to leave."
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