Costa scored the second goal at the Wanda Metropolitano, after Kevin Gameiro had put the team ahead in the 67th minute.
Although the 29-year-old's strike helped insure that his side would stay within seven points of league leaders Barcelona, the Spanish international was not pleased with everything that went on within the match.
Costa was certain he should have been awarded a penalty when he was brought down by Unai Nunez in the box.
"I think it's a penalty," he said, as reported by Sport. "I was going to shoot, [Nunez] dives in, makes contact with me and puts me off balance. Not giving it is the referee's decision and I'm not going to complain," said the striker.
Although Costa seemed to respect the officials decision in this circumstance, he was less understanding over a separate incident. The Atletico Madrid star was booked for arguing with the referee during the game, but he claimed some officials have a bias against him.
He added: "[Some] referees hate me and there's no way to change it."
The 29-year-old claimed that he did not deserve the booking and the referee was just looking for an excuse to show the striker a card.
"He was desperate to book me and that's that. There's no use thinking about it any more," the former Chelsea man continued.
"If you look at the images, I didn't protest rudely. He wanted to book me and that's all."