The former striker also threw a dig at Antonio Conte, the manager who exiled him before he moved to Atletico Madrid during the summer transfer window in 2017.
Costa spent four successful seasons in the Spanish capital before signing for Chelsea in 2014 for a transfer fee of £32million.
In his four years at Stamford Bridge, Costa won two Premier League titles and the League Cup.
His Chelsea career came to an acrimonious end last summer after being told by Conte via text message that he did not have a future at the club.
“It was a very bad moment, but it wasn’t my fault,” Costa told Marca.
“People said things, but time puts everything in its place; look where the coach is, look at Conte.
“I was wrong going to Chelsea, because of their way of dealing with things. Cholo [Atletico coach Diego Simeone] is a direct coach, and when he doesn’t love you, it’s clear and he shows it.
“At Chelsea it was the opposite.
“I had the option of returning to Atleti and when Chelsea told me to go back to training with the reserves, I was clear that I was going back to Atletico, even though there were other offers.
“If not, I would’ve stayed in Brazil with my family. I had to live my whole life with my family. I have other values that no money can buy.”