However, he was also quick to assert that they weren't the only side in the running for his services, and that several other clubs are also interested in signing him.
Diego arrived at Wolfsburg amid much fanfare at the start of last season, having previously had an excellent spell in the German Bundesliga with Werder Bremen, before unsuccessfully trying his hand in the Serie A with Juventus.
Far from being the missing link that brought Wolfsburg one step closer to the Bundesliga title, Diego caused much trouble at the club, and fell out of favour with the management on a number of occasions.
Most notably was his refusal to sit on the bench in one of Wolfsburg's Bundesliga matches near the end of the season, leaving coach Felix Magath with only six substitutes to choose from.
And with Magath and Diego now sharing a fractitious relationship, the Brazilian international reveals he is looking to leave Wolfsburg as soon as possible, with Atletico a likely destination.
"There is an official offer [from Atletico Madrid]," Diego told Kicker.
"We have had contact with other clubs, but Atletico is a concrete option.
"I don't want to be at Wolfsburg any longer."
To add to their current problems, Wolfsburg had a forgettable start to the new campaign as they bowed out in the first round of the DFB-Pokal on Friday evening, losing 3-2 to Regionalliga Nord side RB Leipzig.