In an Instagram live video, the Spaniard is seen wearing his former club's colours, while he wrote in Spanish in the comments section "give a hug to Conte".
The striker's future is very much up in the air at Stamford Bridge, with Costa having revealed that he has been told by Conte that he is no longer needed at the club.
As a result, the 28-year-old has been excused from the start of pre-season training with the Blues in the hope that he will be able to find a new club and resolve his future.
Costa has been strongly linked with a return to Atelti and the his latest performance on Instagram will undoubtedly excite fans of the Liga club, while his comments will likely infuriate Conte.
Despite winning the Premier League title last season, all was not well with Costa, with the Spain international having been dropped by his manager back in January amid rumours of a move to China.
And although the former Atleti forward decided to stay put, it now seems all but certain that he will leave Stamford Bridge in the summer transfer window.