The 27-year-old former Juventus playmaker looks set to return to the Volkswagen Arena, despite falling out with head coach Felix Magath last summer.
"Firstly, I want to thank all the fans of Atletico for all the support that they have given to me," Diego told Marca.
"Everything has been very special for me and that was due to my success at this club. I'll never forget my time here and every moment the fans have spent with me has been special.
"I will always keep them in my heart. I tried my best to make the club invest in me and make me stay permanently. But, anyway, things have been good here."