The Spain international has led his side's title challenge this season, scoring 26 goals in 31 Liga games, prompting Chelsea to take initial steps towards arranging a summer move for the player.
Blues boss Jose Mourinho has been repeatedly critical of his strikers this season and Simeone admits it is no surprise to see the Portuguese turn his attention to the Vicente Calderon star.
"His future depends on him and what he feels is best for his future," Simeone is quoted as saying by AS. "It's normal that Chelsea are interested in him. They are an economic power, Samuel Eto'o is getting older and Costa can do his work, but right now he's ours."
Costa picked up an injury while scoring in the recent derby win over Getafe but Simeone insists he is not overly concerned.
"It's not worrying me. Gabi came and told me that he had a cut. He risked his leg but he's like a bull. Costa, with that gesture, exemplified how we want to play every game as though it's our last."
The Argentine also touted his star striker as a potential Ballon d'Or winner if he continues to go from strength to strength.
"He has room for improvement," the manager said. "He's rebellious and I like that and he's something different. Hopefully his development won't end. Right now he's among the candidates for the Ballon d'Or."
Atleti plays Chelsea in the Champions League semifinals next week and Simeone insists that Thibaut Courtois, who is on loan at the Vicente Calderon from Stamford Bridge, will be able to play - although he admits his long-term future remains less clear.
"I have no doubts that he will be able to play against Chelsea. He also has no doubts. It's not a concern. I don't know where he'll play next season though."