The Brazilian's loan move to the Spanish capital was not made permanent, but he has assured fans that he will forever retain a degree of affection for the club
The 27-year-old moved to the Vicente Calderon on a season-long loan from Wolfsburg after falling out with coach Felix Magath, and played a key role in his side's Europa League triumph.
It had been unclear as to whether the switch would be made permanent, but Diego has now hinted that he will not be spending another season with the Rojiblancos, following up on his parent club's previous admission.
"Firstly, I want to thank all the fans of Atletico for all the support that they have given me," he said, according to Marca. "Everything has been very special to me and that was critical to my success as this club.
"I'll never forget my time here and every moment [the fans] spent with me. I will always keep them in my heart. I tried my best to make the club invest for me stay permanently. But things have been good here."
Diego moved to Wolfsburg in 2010 after a disappointing campaign with Juventus, but plied his trade at the Volkswagen Arena for only one year before moving to La Liga.