But the 26-year-old insists the Spaniards are not the only side interested in signing him this summer.
“There is an official offer [from Atletico Madrid],” the Brazilian told Kicker.
“We have had contact with other clubs, but Atletico is a concrete option.”
Diego wants to leave Wolfsburg and has recently also been linked with the likes of Malaga and Atletico Madrid as well as moves to China and Brazil.
He said: “I don’t want to be in Wolfsburg any longer.”