Costa has hit out at Chelsea in a newspaper article, claiming he does not want to play for the club again.
He is currently in Brazil but Chelsea want him back in training.
Antonio Conte texted the striker earlier this summer telling him he was not part of the manager’s plans for this season.
And former Arsenal striker Wright says Costa should do what Schweinsteiger did at United last season when told by Jose Mourinho he had no future at the club.
“I think it’s disgraceful, the way he’s behaving,” Wright said on 5Live.
“You have to look back at Bastian Schweinsteiger. In respect to the texts and how that happened, of course you want the manager to pull you say ‘listen, I don’t see you in my plans’.
“But the way Bastian Schweinsteiger dealt with it, a World Cup winner, a player of repute. he’s a top, top player.
“I remember when he came on, went through all that rubbish about Mourinho wanting to get rid of him, training with the reserves. He never said a word. He just continued to be a consummate professional.
“I can understand Diego Costa is still irked and wants to leave but surely he’s got to come back here, train and get yourself in a position where if the manager changes his mind you’re there.
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Bastian Schweinsteiger continued at Manchester United last season after being told he could leave
“But for him to say ‘I want to go to Atletico Madrid’ - he’s earning a fortune at Chelsea. Can Atletico even afford him? I can’t understand how players get away with that kind of behaviour.”
Chelsea have already fined Costa £300,000 for failure to return to training.
They have signed Alvaro Morata as a replacement for the Spain international, who finished as their top scorer last season.
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