Costa was not included in Chelsea's squad for the 3-0 Premier League win at Leicester City on Saturday amid reports he has been offered £30million a year to move to Tianjin Quanjian.
Reports claimed the club's top goalscorer had an argument with Conte and a fitness coach in training having become unsettled by the approach, while his agent Jorge Mendes fuelled speculation by holding a meeting with the Chinese club.
But Conte, who insisted Costa had only missed the match because of a back injury, issued a warning to his players about the temptation of China and compared it to the prestige of playing for Chelsea.
The Italian's words come as Willian is also linked as a target for teams in the CSL after Chelsea already sold Oscar and John Obi Mikel to teams in the competition.
"The money is not everything," Conte told reporters.
"When you play for a great team like Chelsea, you must be pleased.
"I think we are a great club and it is a great honour to play for Chelsea. For this reason I don't see [China] as a threat for my players.
"I have to look at the past. Oscar played with us, had a good offer from China and he went.
"But this league is really competitive and every player wants to come and play in this league.
"This league is the first in the world because of a lot of positive things, so I don't think these offers from China are a threat for our league."