The 27-year-old attacking midfielder says that he is owed £46,000 by the Rojiblancos, who are annoyed that the player did not first take up the issue with themhere.
Diego has reportedly angered Atletico Madrid by filing an unpaid wages complaint with the Liga de Futbol Profesional (LFP) and Asociacion de Futbolistas Espanoles' (AFE) joint committee.
According to Spanish media, the Brazil international, who spent last season on loan to the Rojiblancos from Wolfsburg, claims that he is owed €59,000 (£46,000) by the capital club.
The LFP-AFE have already been in contact with Atletico and the matter is now being dealt with. However, the Colchoneros are said to be upset that Diego did not first contact the club before making a formal complaint.
Diego arrived at the Vicente Calderon last summer and had hoped to seal a permanent move to Madrid at the end of the season.
However, Atletico did not make an offer for his services, forcing the player to return to Wolfsburg where he remains at loggerheads with coach Felix Magath.