The Spain striker has scored 17 league goals this term, but only four in his last 10 Premier League outings.
Costa, 28, was particularly culpable of wasting chances in the shock 2-1 loss to Crystal Palace at the weekend.
And he has given his full backing to his main man, as the Blues look to get back to winning ways immediately.
“Diego is performing very well this season,” the Italian said. “He’s a great striker and our point of reference in our offensive situations. I’m not concerned about this. I believe in him.
“He’s a really great player. I repeat: you win and you lose as a team, not as a single player.
“We are a team in every situation, when we win or when we lose. I’m sure Diego is in good form, great form.”
Conte has also seen fit to take a dig at Tottenham.
The Italian has previously declared ‘mind games’ as “meaningless”, but the Blues boss pointedly reminded Spurs that while winning is the focus at Stamford Bridge, losing is not seen as “a disaster” at White Hart Lane.
Spurs head to Swansea on Wednesday night with Mauricio Pochettino knowing his side must continue winning to stand any chance of overhauling the Blues.
But Conte has seen fit to wield a psychological swipe in the direction of north London, and a Spurs side who haven’t won a league title since 1961.
“I think the difference between Chelsea and Tottenham is this: if you are at Chelsea and win it’s normal,” Conte added.
“If you are at Tottenham, if you win it’s great, great, but if you lose – it’s not a disaster, no? Not a disaster. Because you can find a lot of situations to explain a good season.
“But, I repeat, in this season, us and Tottenham stay in the same level. Chelsea were underdogs at the start of the season, but now we are top and we want to keep this position.”
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Antonio Conte refuses to rule out move for Sanchez