The Spain international has been in fine form spearheading the Rojiblancos attack this season, having scored 27 goals in 33 La Liga appearances. As a result, his side currently hold a four-point lead over Barcelona at the top of the table.
A host of European clubs have been linked with a move for the 25-year-old this summer, particularly Chelsea, but Costa has insisted he is "happy" at the Vicente Calderon.
"I did not understand anything. They [Chelsea fans] said my name but I was not worried about that in that moment," he told Mundo Deportivo. "I am very pleased and happy at Atletico."
Costa also discussed Jose Mourinho’s supposedly negative tactics ahead of Wednesday's semi-final second leg, and believes the Blues must take the initiative in attack if they are to break the 0-0 aggregate scoreline and progress to the final.
"I think that the game at Stamford Bridge will be a little different than the one they played in our house," said the striker.
"I believe they have to get out more, but if they do not do it we will look for the best way to beat them because we have the potential to make something big."
