I've done everything to come to Atletico but it did not happen
And the 28-year-old striker has refused to say a move will not happen at the end of the season.
"I've done everything to come to Atletico but it did not happen," Costa told Spanish radio station El Larguero.
"The relationship with Conte did not start well because on arrival I told him that I wanted to go to Atletico. He got angry with me, almost didn't looked at me; I would have done the same.
"Now I'm doing very well at Chelsea but do not rule out anything in the future. In life everything can happen, do not close the door to anyone."
Diego Costa, Jose Mourinho, Jordi Alba and Arsene Wenger all feature in our Transfer News
David De Gea will reportedly be allowed to leave Manchester United for Real Madrid if Jose Mourinho secures what he wants in return.
Madrid chief Florentino Perez has prioritised signing the Spain international goalkeeper and has apparently already offered United James Rodriguez or Isco in return.
However, according to Spanish outlet Don Balon, Mourinho has snubbed the two attackers and made it clear who he desires at the Bernabeu.
United would reportedly be willing to do business if one of Raphael Varane, Casemiro, Luka Modric, Toni Kroos or Karim Benzema were on the table.
Otherwise, it is said Madrid will have to fork out just over £60million to land De Gea.
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Players who could leave Manchester United this summer
Tue, March 21, 2017
Who could leave Manchester United this summer?
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Bastian Schweinsteiger has left Manchester United but who could go next?
Arsene Wenger is helping to build the structure at Arsenal for once he has left the club.
In exchange for being given two more years at the Emirates, the long-term manager must look to ensure the club does not go into decline afterwards.
As a result, Express Sport understands star duo Alexis Sanchez and Mesut Ozil will be sold as part of a reinvention at Arsenal.
Both players have failed to agree new contracts and have just over a year remaining on their deals, meaning the Gunners will subsequently offload them.
Barcelona left-back Jordi Alba could leave the Nou Camp for £25m with United weighing up a move, according to reports.
Mourinho is after a new full-back with Luke Shaw’s position at the club in doubt.
And according to the Manchester Evening News, Alba has been identified at Old Trafford.
The Spaniard is also said to be open to a move.