Costa, who has 23 goals in all competitions this season, has been linked with moves to Premier League sides Arsenal and Chelsea.
However, Jose Luis Caminero believes the attacker is fully focused on Atletico, having signed a contract extension until 2018 in August.
"Right now Costa does not think of leaving, he is contracted to Atletico," Caminero told Marca.
"He has renewed with us which is important. He has shown that he wants to continue at this club."
Costa's superlative form has resulted in a tussle for his services on the international front, between the country of his birth, Brazil, and Spain.
He has two caps to his name for Brazil, but remains eligible for the world and European champions due to his outings having only come in friendly matches.
The 25-year-old has scored six goals in his last four league matches, helping Atleti finish second in the table going into the mid-season break.
Diego Simeone's men sit level on points with leaders Barcelona ahead of their visit to Malaga on January 4.
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