The Brazilian has been heavily linked with swapping the Donbass Arena for Bavaria after six impressive seasons in the Ukrainian Premier League.
His coach Mircea Lucescu all but confirmed the deal last week - suggesting Costa could be the new Arjen Robben at the Allianz Arena.
However, with neither club having announced the deal, Brazil international Costa says he is yet to reach an agreement to make the move.
"Up to now, they have not come to an agreement yet," Costa told Sport Bild.
"Discussions have taken place between my club and Bayern, but so far I know nothing more than the interest of FC Bayern.
"I have been focused on the Copa America. After my time here [in Chile], I'll talk to my agent. Who would not like to play at Bayern?"
Costa came off the bench to feature in Brazil's penalty exit at the hands of Paraguay in Saturday's quarter-final, failing to convert his spot-kick as Dunga's men bowed out 4-3.