The 25-year-old, who has scored 35 times this season, has been strongly linked with a move to Chelsea when the transfer window opens.
During last week's Champions League semi-final first leg against the Blues, some Chelsea supporters were heard chanting "see you next year" to the Brazilian-born forward.
However, Costa has insisted that he is "very happy" at the Vicente Calderon.
"I didn't understand anything. I heard my name and asked what they said. I wasn't paying much attention. But I'm very happy here," Inside Spanish Football quotes Costa as saying at a promotional event for the club's pre-season tour of North America.
Atletico travel to Chelsea for the second leg of their semi-final this evening, with the score 0-0 from the clash in Madrid last week.