The 21-year-old, who moved to Atletico from Rayo Vallecano in the summer, has also claimed that he cannot wait to turn out in the Champions League.
"I'm thrilled to be here. Rayo and Atleti play different styles of football, but I think I'm adapting okay. [Coach Diego] Simeone asks his players to never stop working, never lower the intensity," he told AS.
"We have reinforced the squad with some phenomenal players, but I think things will stay the same in the League. We are looking forward to the Champions League though. It's the best competition out there."
Leo scored seven times for Rayo last season.