The Blues top goalscorer was linked with a move to the Chinese Super League during the January transfer window, but a switch failed to materialise.
In an interview with Sky Sports News, Costa spoke highly of the organisation and support network at Stamford Bridge, adding that he is never "going to be 100% happy anywhere".
Speaking to Thierry Henry, the Spain international said: "[London] is not Brazil, it's not Spain - because as you know I went there from Brazil when I was very young so I spent quite a long time in Spain and I was used to living there.
"London is a nice city, where you eat well and it is lively but the weather makes me feel down. But I am happy here at Chelsea, the club has a different organisation to Atletico [Madrid], things work well here, people give you all the support you need.
"I know I'm not going to be 100 percent happy anywhere, but I live well. I'm not really happy with the weather, but that's not vital."
Costa moved from Atletico to Chelsea in 2014 and has scored 54 goals, as well as bagging 22 assists, in 112 Blues appearances.