Costa knows Tuesday's Champions League opponents well, having moved to Spain from VfL Wolfsburg where he played under Felix Magath who is now coach of Schalke.
The Portuguese told a news conference that he had given Valencia coach Unai Emery a few tips for the last-16, first leg match at the Mestalla.
"Raul, together with Huntelaar, are the stars of the team," Costa said. "Nevertheless the strength of Schalke does not really lie there but with the work they put in over 90 minutes.
"They never give up, they're strong at set pieces and counter-attacks and are physically very powerful. We have to focus, play our football, perform well and rely on a bit of luck."
Valencia have been in fine form in La Liga in recent weeks, winning six and drawing one of their seven matches since the start of the year. Saturday's 2-1 comeback win at Atletico Madrid lifted them above Villarreal into third.
"We have to keep in mind we are playing home and away and try to score in our stadium and avoid conceding," Costa said.
"We had an outstanding match and that will hopefully help against Valencia," said goalkeeper Manuel Neuer.
Schalke's new signings, Iranian midfielder Ali Karimi, Greece striker Angelos Charisteas and Anthony Annan, will be available on Tuesday although the Ghana midfielder could be the only member of the trio who starts the game.
"The fans have been patient just like the team and that is evident on the pitch," he said. "We need this union and I hope it stays that way."
