The 22-year-old Argentinian, who finally sealed his move to Atletico from San Lorenzo in 2015 after a heart tumour delayed the transfer by six months, made only 19 La Liga starts over the past two seasons, scoring nine goals.
Correa was linked with a move to Real Sociedad during the summer, but took his chance from the bench when he scored in Atleti's season-opening 2-2 draw with Girona last month.
And with Antoine Griezmann suspended, Correa started the following games against Las Palmas and Valencia.
But, when asked if he considered a move away from the Spanish capital, he told an interview with El Pais: "Yes it’s true that I thought about it many times.
"I always want to play, it is the mindset you must be in as a professional and what you prepare for, so when you don’t it is difficult.
"When you don’t play for a while it changes your mentality and it is hard to get back into the mindset of preparing for games regularly.
"Now I am getting more opportunities to play I must take advantage of that and ensure I impress the Coach."