The striker stepped up his recovery from a hamstring injury on Friday, but the Madrid defender trained in some discomfort and is unlikely to feature on Saturday
Costa was injured early on last Sunday as Atletico claimed the Liga title with a 1-1 draw at Barcelona and had looked set to miss the European showpiece in Lisbon.
But the Brazil-born forward travelled to Serbia to undergo horse-placenta treatment and the alternative method seems to have worked wonders as the striker was put through his paces with some sprint sessions at Benfica's Estadio da Luz and then trained normally with his team-mates on Friday.
"We will examine Diego Costa and the other injury doubts (which include Arda Turan, also sidelined at Camp Nou last weekend)," Atleti coach Diego Simeone said ahead of Friday's session, but the Argentine will have been delighted with the striker's progress and he now looks set to to start on Saturday.
Madrid later took to the pitch in the Portuguese capital and Cristiano Ronaldo dispelled doubts over his fitness following last weekend's withdrawal from the starting line-up in the Primera Division clash against Espanyol.
The Portuguese trained normally and looked in good shape on Friday, but his compatriot Pepe is set to miss out after an uncomfortable session at the Estadio da Luz.
The defender has been sidelined with a calf injury for several weeks and trained with a bandage on Saturday. The 31-year-old looked short of fitness and abandoned the session before the end.
Striker Karim Benzema is also doubtful for Saturday's game, but the France forward looked more comfortable in training and could feature against Atleti.
"Cristiano has trained without any problems," Ancelotti said on Friday. "But Benzema and Pepe haven't trained all week, so we'll see tomorrow."