The 26-year-old fired Atletico to their first La Liga title since 1996 as well as the Champions League final with 35 goals in all competitions last season, and is believed to be Jose Mourinho's top striking target this summer.
Some sources have suggested that Costa has already undergone a medical at Stamford Bridge after the Blues triggered his reported £32m release clause, and, while confirming that the Londoners have made contact over the Spanish international forward, Cerezo has stressed that any deal is far from completion.
"We don't know anything about Costa, all we know is that Chelsea have made contact but we haven't received any money or anything else yet," Cerezo told reporters.
"Until we receive the money from his buy-out clause, he remains an Atletico player."
Chelsea, who have already added to their squad in the post-season with the capture of Cesc Fabregas from Barcelona, are also thought to be keen on Costa's Atletico teammate Brazilian left-back Felipe Luis.