The Spain international completed his move to Atletico Madrid on Tuesday.
After being told he was not in Antonio Conte‘s plans for the 2017/18 season, Costa says he had to leave the Blues because he ‘could not lose faith’ in himself.
The post read: “Some cycles begin while others end. My cycle at Chelsea began three years ago – three remarkable years in all aspects – and I will never forget it.
“Two championship titles, a Community Shield, 120 matches, 59 goals and 24 assists later this cycle has ended. Not the way I would have wanted – far from it – but the best way possible.
“The wonderful fans of such equally admirable club and all team mates, as well as all clinical, administrative and logistics staff will remain forever in my mind and in my heart.
“Will bring them with me with the certainty that I will always be by their side as well, and I’m sure they will understand the reason why this cycle of mine has now ended – because I could not lose faith in myself. Thank you Chelsea for everything!”