Costinha has signed with Sporting Lisbon as director of sport after leaving Atalanta last week.
The 34-year-old, who won the Champions League and UEFA Cup under Jose Mourinho at Porto, played just 54 minutes in three years.
Costinha had been earning 700,000 a year since his move from Atletico Madrid in 2007.
He suffered an injury on his debut for Atalanta, which would prove his first and final appearance for the Bergamo based outfit.