It had been reported the that La Liga outfit had contacted Diego's father following rumours that the 27-year-old was unhappy in Germany.
The Brazilian international spent last season on loan at the Vicente Calderon, helping the team to victory in the Europa League.
However, Diego has now stressed his commitment to the Wolfsburg cause, as they find themselves struggling at the foot of the table.
"I get a lot of coverage in Spain," Diego told Kicker. "But I can confirm - I don't have any contact with Atletico.
"I am in Wolfsburg now and very pleased about my situation. I am just hoping this season has a happy ending."
Diego has scored one goal in nine appearances this season.