Diego has spoken of his frustration at seeing Atletico Madrid fail to make an offer to Wolfsburg to keep him at the club beyond the expiration of his loan deal.
The 27-year-old arrived in the Spanish capital after falling out with Felix Magath at the tail end of the 2010-11 campaign, and subsequently excelled under Diego Simeone's leadership as he went on to lift the Europa League trophy.
The midfielder is keen to stay with Atleti on a permanent basis, but he admits he is beginning to harbour doubts about the possibility of plying his trad
"First, I want to thank the fans for the affection [shown to me]. It was special to me and was instrumental in our success into reality. I will never forget in my life, the moments that I lived with them. Always be in my heart," Diego told Marca.
"There is still no offer from Atletico and that means something. I now do not think I am among the priorities of the club and I do not know why, but I understand them anyway.
"I already made a financial investment at the beginning of last season and even waited until the last minute for Atletico, who finally arrived.
"I played as well as I could to make the club invest in me [permanently], but things are not given. The rest is up to me. I starred on the field for the club to act now."