Diego Costa plans to continue his Chelsea exile in Madrid in his latest attempt to try to force through a return to Atletico. Striker Costa released a statement on Thursday reiterating the fact he will not return to Chelsea, despite the club ordering him back to their Cobham training ground. Chelsea maintain that Costa is required to return to training and work to make himself fit for selection under the terms of his contract. The Blues have already fined Costa for going on strike and will continue to do so for every week he remains away. But Costa, who could face the threat of legal action from Chelsea, said: “My destination is already made. I must return to Atletico Madrid.