Costa, 25, has been in scintillating form this season, scoring 21 goals from 21 matches in all competitions.
With 17 La Liga goals, he currently sits alongside Real Madrid star Cristiano Ronaldo in the race for the Pichichi.
His performances in Spain and in the Champions League have not gone unnoticed by overseas clubs, and it's believed that Premier League leaders Arsenal are keen on the in-form striker, who would reportedly cost around £32m.
However, that fee would be lowered significant for Chelsea if they strike a deal with Atletico for the transfer of Lukaku, who is scheduled to return from his season-long loan from Everton at the end of the campaign.
The powerful Belgium international has impressed at Goodison Park this season, scoring eight goals in 12 Premier League appearances to date.
However, Chelsea manager Jose Mourinho has indicated that it was Lukaku's decision to leave Stamford Bridge on loan for the season, and the relationship between the player and coach has subsequently appeared strained in recent weeks.