The Spaniard was on the receiving end of a bad tackle from the Chelsea striker on Monday night.
Costa had already been booked in the game when he made a terrible challenge on the Hammers goalkeeper which received no further punishment than being called a foul.
Insult was added to injury for the visitors as Costa then struck a late winner two minutes from time to condemn Slaven Bilic's side to defeat in their opening Premier League match of the season.
Many players and pundits have claimed since the final whistle that Costa should not have been on the pitch to score that goal, but Adrian is simply thankful that the lunge did not leave him with a serious injury.
Alongside a photo of the incident, the 29-year-old wrote: "Disappointed about last night!! Thank God my leg is okay after that, could have been much worse!! #fairplay".
It is clear from the photo that both Costa and Adrian are lucky men in their own way; the Spanish striker should surely have been shown a second yellow card - at the very least - after planting his studs halfway up the stopper's calf.
West Ham manager Slaven Bilic has suggested that the striker should indeed have been shown red, although he insisted that the challenge was merely late and not either reckless or intentional.
Captain Mark Noble went further, however, claiming that Costa completely "wiped out" the goalkeeper, as quoted by the Telegraph.
Costa has a notorious history of unsavoury incidents throughout his time in English football.