The Brazilian signed for Shanghai SIPG in January for a reported £60m fee after spending four-and-a-half years at Stamford Bridge.
Costa has been heavily linked with a big-money switch to Tianjin Quanjian this summer, and Oscar would be more than happy to see his former teammate again.
"It's hard for me to give specific advice to Costa," Oscar told CCTV-5. "The only thing I can tell him is that I quite enjoy my life in China.
"I don't have any problems so far. The culture here is obviously very different from that of my country, but we are getting used to it, bit by bit.
"Everyone has got to figure out the things he wants most. And I believe coming to China is the best choice for me. If Costa moves here, I will be delighted. He is pursuing happiness and I hope everyone has a happy life."
Since moving to the Far East, Oscar has scored one goal and registered three assists in nine Super League appearances.