With 19 League goals, Costa is third on the top goalscorer's list behind Romelu Lukaku and Harry Kane, with his form naturally attracting the wealthy CSL clubs.
But, the manager Conte felt it was important for his players to focus on the present, as the title is yet to be won.
"I think now it's very important for every single player, for every single person at Chelsea to focus on the present," said the Italian.
"The present is very important for us, now it is more important than the future to be focused, to be concentrated, to prepare in the right way for these five games [including these FA Cup final] from now until the end," he said.
"But I'm not worried about this because I see my players every day and I'm seeing the right concentration, the right focus about them."
About the speculation linking Costa to a move to China, the manager said: "It's normal in this part of the season. It's normal to cope with this situation, with this speculation.
"For sure sometimes you can find it is true and a lot of time it's not true, but for sure in this part of the season it's normal."
The Blues could find their lead at the top of the table cut to point by the time they take on second from bottom Middlesbrough on Monday. That, however depends on Tottenham Hotspur's clash against West Ham United on Friday.