The Blues take on London rivals Tottenham at Wembley in the League Cup decider and Costa insists the upcoming fixture is one of the main reasons he chose to move to Stamford Bridge from Atletico Madrid in the summer.
"I joined a club like Chelsea to win titles. Finals are not there to play, they are to win. I'm hoping I can get my first title," he said.
"Never mind the opposition. We all know we are a good team and we have the quality to win."
Chelsea lost 5-3 to Spurs on New Year's Day but Costa was quick to point out that he and his teammates got the better of the north Londoners earlier in the campaign.
"We beat them 3-0 in the league first at Stamford Bridge," he added.
"They are a great side. They deserved that win. There's nothing extra, no revenge or anything like that. It's just a final and we want to win."
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