Costa, who scored four goals in three games to help the team finish top of their Champions League group, sees AC Milan striker Balotelli as his team's biggest threat.
"Balotelli is one of the best strikers in the world," Costa said.
"Our defenders know this and will keep a close eye on him."
He added: "In order to achieve something positive, we will need to do our best. Milan have a lot of tradition and know how to play these type of games. We will have do a great job against them."