Jose Mourinho's men sat back in the first leg of the tie, earning a hard-fought 0-0 draw at the Vicente Calderon and triumphed at Liverpool on Sunday using similar tactics.
However, the Spain interantional is expecting the west Londoners to attack more when the two sides meet on Wednesday, with a place in the final up for grabs.
"I'm not nervous, it's a great game, let's enjoy it and play," he told reporters.
"I will be a different match to the one at home, they will have to come out and attack more."
Atletico Madrid are currently two victories away from sealing their first Liga title since 1996 and Costa is dreaming of lifting the trophy at the Calderon.
"I want to win the league and it would be good to do it in front of our fans against Malaga," he added.
Atletico Madrid's next two Liga matches are a trip to Levante and a home clash with Malaga.