The sporting director has issued a 'hands off' warning to any clubs interested in its star striker, insisting the player will remain in Madrid.
Speculation of a potential exit has been fuelled by the 38 million euro release clause within the player's contract, which he signed in August this year.
However, Caminero insists the 25-year-old, who has scored 19 goals in 17 league games, will not be leaving the club, despite interest from several parties.
“Right now, Costa does not think of leaving, he is hooked with Atletico,” he said in an interview with Marca.
Under the management of head coach Diego Simeone, Atletico has gradually bridged the gap between itself and city rivals Real and currently sits joint top of La Liga with Barcelona.
Nevertheless, a regular theme in recent years has been the departure of key players – most recently the summer sale of Radamel Falcao to Monaco – but Caminero is not interested in selling more top stars.
“Diego is happy here. He just renewed his contract, demonstrating that he want to stay here," the sporting director said. “He knows how this club works, money won't be a problem."
The Copa del Rey holders are through to the last 16 of this season's Champions League to face AC Milan and could be contenders for more silverware this campaign.
While Caminero rules out a Costa departure during next month's transfer window, the director does believe the club will be busy, saying "there will be changes".
However, one area he is not worried about is the goalkeeper situation, with No. 1 goalkeeper Thibaut Courtois on loan from Chelsea and Daniel Aranzubia.
“We have three great goalkeepers, two of them on loan. This position is not our worry now,” he said.