Morata has joined the La Liga club on an 18-month loan after finding opportunities limited under Maurizio Sarri this season.
The former Real Madrid man signed for the Blues in 2017 but has struggled to regularly impress despite a strong start to his Stamford Bridge career.
Chelsea signed Gonzalo Higuain last week in an attempt to cure their striker issues with Olivier Giroud also failing to impress.
Morata returns to the Spanish capital having spent part of his youth career with Atletico.
And on departure, the 26-year-old has aimed a dig at Chelsea having made 15 Premier League appearances, scoring five goals this campaign.
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“I’m very happy and proud to be here,” Morata said.
“I can’t wait to start training, meet my new teammates and play.”
Morata has played for a number of European giants having starred for Juventus before his move to Real Madrid.
But it seems his heart has been set on returning to Madrid for a while.
Chelsea boss Sarri recently revealed Morata had told him he wanted to leave the club in December.
“I think that Morata has the characteristics for playing in my team,” he said.
“But one month ago, he said he wanted to play in another team.
“So it was really very difficult for him to give us the 100 per cent for his mental situation, I think.
“Morata is potentially a very important player. From the physical and technical point of view, he is a very good player and suitable for my football.
“But the situation changed in the last month. So we needed to change.”