Costa was allowed to rejoin Atletico Madrid for £57m after not playing for Chelsea this season.
Chelsea brought in Morata in a £60m deal from Real Madrid over the summer.
And Shevchenko, who was at Stamford Bridge from 2006-09, has given his backing to Conte.
The current Ukraine boss said: "I think if the motivation of the player is to leave the club it would be unfair to keep him.
"He did a great job for the club, he won two titles. He was happy to be here but if he wants to leave you have to let him go.
"They have found a very good player in Morata. He’s been very good.
"They are two different players but if a player is not happy in the club you can’t keep him. You have to find a substitute.
"But the club have found the right player. I know for sure Antonio Conte knows what he is doing, he’s done a great job. Chelsea are a great club and I’m sure they will follow the same road as last season to win the title.
"I’ve been surprised by how well Morata has settled in with his team-mates. He knows Pedro very well, and Hazard is his type.
"Morata is very good in the box and scores goals. Chelsea create many chances around the box, crosses come in from the left and the right and he is very clinical in finishing around the area. It is a good sign for him to be successful."
