Caballero joined Chelsea this season as Courtois' backup.
He told the club's website: "I saw him in his first season at Atlético Madrid and he was fantastic. I could not believe he was only eighteen years old because of the saves he made and his personality.
"He was fantastic and at the moment, I already saw that he would be a great keeper for many years, as there are not many keepers who can play for a big club on their eighteenth and do something good.
"You must have character to be able to keep at such a club at that age. David de Gea was the keeper who left Atlético and it was not easy for Thibaut to follow him in a stadium like the Vicente Calderón. But his mentality helped him to do well. I spoke to him after our matches against Atlético (Caballero played at Málaga) and I realised that he was also a big man."