Los Che cruised past the Dutch club to record a 5-2 aggregate win to reach the competition's semi-finals where they will now meet fellow Spaniards, Atletico Madrid.
However, Valencia must now turn their attentions back to the league where they come up against Jose Mourinho's men this weekend, and Costa is sure his team-mates go into the game in a better shape of mind due to their recent goal haul.
"We needed the win individually and collectively. Sunday's game will be different to Thursday, but the result gives us confidence," he is reported as saying in Marca.
The Argentine midfielder then turned his attentions to the Europa League semi-final with Atletico and dismissed suggestions his side would be looking for revenge after exiting the competition at the quarter-final stage two seasons ago at the hands of the Rojiblancos.
"Before the Atletico Madrid game there are too many things to think about and we cannot lose concentration," he added.
Costa has made 32 appearances in all competitions for Los Che this term, scoring seven times in the process.