And the Spaniard wants the east London side to do well - but has warned that they could become the next Southampton.
Indeed, Southampton impressed throughout last season but ended up running out of a steam a little in the Premier League.
The Chelsea striker told Standard Sport: "I hope they do well. I have always liked one of the smaller clubs, one not regarded as a contender for the title, to achieve something. It would be good for football if West Ham do that.
"But we have to be honest and it is very difficult to do that here. This League is very competitive. I remember the same thing happening with Southampton last season, they were doing great but they couldn’t maintain the level."
Costa's words come off a tad patronising but that may be due to English not being his first language.
What's also interesting is the fact West Ham actually were on par with Southampton last season. Both sat in the top four at times and both slipped down the table somewhat.
West Ham's fall down the Premier League standings was even more dramatic than Southampton's. That, though, was down to Sam Allardyce packing his bags early and taking an early holiday.
Can Slaven Bilic take the Hammers further this time around? There's every chance - but the Chelsea striker's warning is certainly worth considering.