Costa was Chelsea’s top goalscorer last season as Conte guided the Blues to the Premier League title in his first term in charge.
But Conte text Costa after the season had finished to inform the Spain striker he is no longer part of his first-team plans.
The Spain international, who is currently on exile in Brazil and refusing to train with the Blues, is expected to rejoin Atletico Madrid.
Conte has come in for some criticism for the way he’s handled the Costa saga, but Zola believes his Italian compatriot was right to get rid of him if he was disrupting the dressing room.
“Nobody doubts the quality and value of the player but something must have gone wrong in the changing room,” Zola told talkSPORT.
“A manager who is day in, day out in the changing knows how important a player is, not only on the pitch but also within the group.
“So if Conte has come to this decision it means probably there were no guarantees any more to have that harmony in the changing room.
“It is big loss for the club because we know how important a player like Diego can be.
“But you have to pay respect to the manager, who has to look after 24 players not only one.”
Chelsea replaced Costa with the £60million signing of Alvaro Morata from Real Madrid, with the Spaniard scoring three goals in his opening four Premier League outings.