The Spain international has been heavily linked with a big-money transfer away from Stamford Bridge in recent times.
Interest from the Chinese Super League was said to have turned his head in January, with the riches on offer in Asia difficult to turn down.
Prior to that, Costa has admitted that he was eager to secure a return to Atletico Madrid in the summer of 2016.
He was, however, to see out both of those windows still on the books at Chelsea and has spearheaded a Premier League title challenge under Antonio Conte this season.
Costa, though, is aware that further speculation will sparked.
“It's true that Marseille has a great project and is growing up,” Costa told Telefoot.
“I'm very happy with Chelsea, but in football everything can happen, and if we have to change, France is a place where I've never been to I never played, so why not.
“Everyone knows that [PSG] is a respected team in Europe. Monaco also has a great project and great players.”
For now, Costa’s focus is locked on 2018 World Cup qualifiers with Spain and a return to domestic action at Chelsea.
The Blues have opened up a 10-point lead at the top of the table and are edging their way towards taking the English top-flight crown back to west London.
Costa is also chasing down the Premier League’s Golden Boot, with his 17-goal haul leaving him four short of Everton’s Romelu Lukaku at present.