Costa scored the opening goal in Wednesday night's game and has now urged Atletico to remain in form when they travel to Malaga in the league on Sunday.
"The team is good and that's why things are going well for us," he told Atletico's official website. "Hopefully we can go on like this.
"We wanted to get to the end of the game and did not think of the threat they could still cause. Now we have to focus on the league and continue our form."
Atletico have won their last two La Liga games.