According the Sky Sports, the Italian club's chairman Marco Fassone revealed they have been in talks with Jorge Mendes.
Blues boss Antonio Conte opted to omit the player from the club's recent pre-season tour of Asia and Costa did not join the squad as they returned to training at Cobham on Monday.
Atletico are understood to have offered around £26million for Costa while Chelsea value him at around £55m.
Staying sharp and at the very top of the game will still be paramount to Costa, even if he seems to have little future at Chelsea, the club which he helped lift the Premier League trophy last season.
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In a video posted on his Instagram account, the 28-year-old put in some hard work on the beach with a personal trainer.
The Brazil-born Spain global is expected to leave the Premier League champions after Chelsea completed the club-record capture of Alvaro Morata from Real Madrid.
Costa's former club Atletico Madrid have been mooted as his most likely destination, but the LaLiga club are under a transfer ban until January and Fassone has hinted big-spending Milan could step in.
The player could be open to a temporary move to another club before he can rejoin Atletico.