Costa was offered a move to China in January and had to be talked around from a return to Atletico Madrid last summer.
And the Brazilian-born Spain international told Sky Sports he can never be completely happy in London.
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Chelsea stars in training as full-strength Blues prepare for Man United clash Fri, April 14, 2017
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Chelsea were hard at work in training ahead of their clash with Man United
I know I'm not going to be 100 per cent happy anywhere
“It's not Brazil, it's not Spain – because as you know I went there from Brazil when I was very young so I spent quite a long time in Spain and I was used to living there,” Costa said.
“London is a nice city, where you eat well and it is lively but the weather makes me feel down.
“But I am happy here at Chelsea, the club has a different organisation to Atletico, things work well here, people give you all the support you need.
Chelsea star Diego Costa says he doesn't like the British weather
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Costa was born in Brazil but plays for Spain
Costa (right) joined Chelsea from Atletico Madrid
“I know I'm not going to be 100 per cent happy anywhere, but I live well.
“I’m not really happy with the weather, but that's not vital.”
Costa is tipped to start against Manchester United in today’s 4pm kick off at Old Trafford.