The Belgium international leads the way in the Premier League scoring charts this season with 24 goals - five more than Chelsea's leading marksman.
Costa ended a recent goal drought with a brace in Tuesday's 4-2 win over Southampton, while there was speculation over Chelsea making a move to re-sign Lukaku when the former Atletico Madrid man was linked to the Chinese Super League in January.
"I think Lukaku, for sure, is a really good player," Conte told a pre-match news conference ahead of Sunday's match at Goodison Park. "He's scoring a lot of goals this season, but not only this season.
"We must pay great attention [to him]. But it's always the same. We study the opponents and we try to find the best solution to stop them - for single players and about the team.
"We must pay great attention to Lukaku and the other players. They have a lot of good players, good technique, good finishing."
Asked whether he would like Lukaku at his disposal, Conte responded: "In my team? As I said before, for me my players are the best in the world. I don't change my players with other players."
Conte underlined this collective appreciation of his squad when addressing N'Golo Kante being named PFA Player of the Year, with Blues colleague Eden Hazard coming second in the vote.
"But I think this is a great achievement for N'Golo and also for Eden. I think they are having a really good season.
"But I think, also, many Chelsea players deserve to stay in this group of players, to try to win the best player of the year."
Conte won three consecutive Serie A titles during his time in charge of Juventus and he is relishing being at the forefront of another title race.
"I think that, in this league, two teams are having a great season," he said. "Chelsea are having a great season, but also Tottenham - a great season.
"Two good teams, two teams who are showing we deserve to fight for the title until the end. For sure, you must enjoy this type of situation.
"After a lot of work, it's important to arrive at the end of the season fighting for something important. For us, it's a great achievement to fight for the title and the FA Cup, because we are in the final.
"But also we must praise Tottenham because they are playing very well and having a great season in the same way like Chelsea."