Costa's situation has soured in recent days following an interview he gave to the Daily Mail, as he accused Chelsea of forcing him to play with the youngsters, while also claiming that Conte lacks charisma.
It is not yet known if the Spain international will be granted his wish to link up with Atleti, who are unable to register new players until January, but Gabi believes that it would be wrong to push through a move.
"From what I know, Atletico Madrid want to sign him and he wants to join," he told reporters. "But of course, there is Chelsea in the middle and when you are part of a club you must respect the badge and try and leave in the best way.
"If Costa joins then he will help the team as he always did, we know he is a great player but right now he is a Chelsea player and I cannot tell you any more."
Reports in the British press on Thursday claimed that Everton are in the running to sign Costa on loan until he is given the all-clear to join Atletico in the New Year.