But Costa, who still has three years left on his contract, is their top target.
The Madrid club held talks with his agent in the Spanish capital this week.
Atletico boss Diego Simeone demanded the club sign a big-name striker before he would agree to stay on as coach, and Costa has always been his No.1 choice.
Chelsea expect to complete the signing of Batshuayi without any problems.
They are also looking for a midfielder and a defender, but will look to sign another striker as well if Costa leaves, with Real Madrid’s Alvaro Morata still on their radar.