Costa was left out of the squad for the 3-0 win over Leicester, but returned to silence the rumours with a goal against Hull on Sunday.
But former Arsenal star Wright believes Costa may have risked damaging the Chelsea dressing room if he had told the club he wanted to leave.
Ian Wright said Diego Costa risked destabilising the Chelsea dressing room
Ian Wright went on to praise Diego Costa on his return to the Chelsea line-up
"I said he's destabilising it. For him to just get up and say 'I'm leaving' – he's destabilised the dressing room," Wright told BBC Radio 5 Live.
The 28-year-old made no secret of wanting to leave Chelsea last summer to rejoin Atletico Madrid but was persuaded by Conte to stay.
And Costa has rediscovered the kind of form that evaded him last season under Jose Mourinho, scoring 15 goals in 22 appearances in all competitions.
Chelsea fans react to Diego Costa comeback
Sun, January 22, 2017
Click through the gallery for the best reactions as Diego Costa returns for Chelsea
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Click through the gallery for the best reactions to Diego Costa's Chelsea comeback
Diego Costa scored in the 2-0 win over Hull
Wright went on to praise Costa for returning to the Chelsea line-up at the weekend to put rumours of a move away from Chelsea behind him.
"It's about confidence, confidence in your ability," Wright added.
"He's come out against Hull and hammered them.
"The fact is he's come back and silenced the crowd."