The Spanish striker yesterday completed his move back to Atletico Madrid after being told he was surplus to requirements at Stamford Bridge.
Chelsea have already replaced Costa with Alvaro Morata who joined from Real Madrid in a deal worth £70m this summer.
“Every manager deserves the right to pick your own team, your own squad,” Thompson told Sky Sports.
“We’re not privy to what goes on in the dressing room, behind the scenes.
“For a manager to do what Conte did I thought was quite incredible.
“While he’s your player you should never write him off.
“To tell him so early that ‘you’re finished and you should find yourself another club’ I just thought was very, very strange.
“You never know what was going to happen and low and behold I think they thought they (Romelu) Lukaku absolutely nailed on.
“That didn’t happen, then they were struggling.
“In fairness they’ve got a hell of a result in (Alvaro) Morata.”
Chelsea return to action this evening when they travel to Atletico in the Champions League.
Costa will not be able to play though, as any newly signed players will have to wait until January to take the field when the Spanish side’s transfer embargo is lifted.
