The Spain international is close to agreeing terms with Atletico Madrid, bringing an end to a nine-month saga that has seen him fall out with boss Antonio Conte and then find himself frozen out completely at Stamford Bridge.
Many believe that Chelsea have pulled off an impressive piece of business, having made a healthy profit on the striker once he officially departs, but Wilkins is disappointed to see Costa leave under these circumstances.
"I'd prefer the player to the money," he told talkSPORT. "They have doubled their money but, as a player, the fella was a beast. He terrorised defenders - they didn't like him - and he scored goals.
"He was top drawer for Chelsea. I would like to see him still at the club with [Alvaro] Morata coming off the bench. Morata is a good footballer, he has got great feet and is good header of the ball, but Costa was a pest. I just thought the fella was absolute outstanding."
Wilkins claimed earlier this week that Costa remains a better option than Morata, who was brought in as a £60m replacement during the summer.