Both players joined Jose Mourinho’s side in 2014, but Luis only lasted one season in London before returning to the Spanish capital earlier this year.
Costa, who has struggled for form in the current campaign, has been linked with a move back to his former employers and says he remains an Atleti fan.
“You never know, look where Filipe Luis is now,” he told Onda Cero when asked about a possible return to the Rojiblanco.
READ MORE | Mourinho's dig at Casillas after Porto exit
“Life takes plenty of twists and turns - I always wish Atletico the best and I always follow them, support them from far.”
Diego Simeone’s side can’t meet Chelsea in the next round of the Champions League as both sides qualified top of their respective groups.
However, they could meet in the quarter-finals if they both make it through, although Costa would prefer to not have to face Atletico.
“Hopefully we don’t have to play them,” he added. “They’re uncomfortable to play against. If I could choose, I would choose to play them in the final.”