Hazard shone on Monday night as Chelsea claimed an FA Cup semi-final spot with a 1-0 win over Manchester United.
Hazard, 26, has been back to his very best this season and is among the leading contenders for England’s Player of the Year crown – which he won in 2014-15.
His 11 league goals and performances have played a key part in Antonio Conte’s side surging to the top of the Premier League.
That has led to suggestions that he is once more on the radar of the Spanish giants – with Los Blancos also linked to Blues stopper Thibaut Courtois.
“F***! If Real Madrid signing Hazard and Thibaut, [then] poor Chelsea! Hazard is f****** amazing, he’s a top player,” Costa told Onda Cero.
“Barcelona or Real Madrid are going to watch him at any time. Hazard is happy here but when a team like these knocks at the door you have to think about it.
“He’s a world-class player. It is normal that they love him but hopefully he will not leave.”
As for Courtois, with whom Costa has played at both Chelsea and former club Atletico Madrid, the striker added: “We already know that Thibaut [Courtois] likes Spain very much, his family lives there.
“He’s a great goalkeeper and Real Madrid need goalkeepers like him, but he’s in a good place here also.”
Conte faces the press after edging Manchester United in FA Cup quarter-final