The Brazilian, who will be out of contract with his German side in the summer, has been widely linked with a return to the Vicente Calderon.
However, the 28-year-old has claimed that there has been "no contact" from the Spanish side, where he spent a loan period in 2011.
"I have had no contact with anybody from Atletico. There is no possibility of going there in the winter market window," he told Cadena COPE.
"The problem isn't the money. Money will not be a fundamental factor for if I stay [at Wolfsburg] or go. It's fantastic for a player to know the affection and respect they have for me.
"I have always said that I have a soft spot for Atletico. They were nine wonderful months, but now I am here and we are at a very important moment."
Diego has gained 33 caps for his country.