The 29-year-old returned to the Calderon having played 26 matches for Chelsea last season, but he never fully won the confidence of manager Jose Mourinho.
"Filipe Luis is again a player of Atletico Madrid. The rojiblanco and Chelsea have reached an agreement for the transfer of the fullback," Atletico said in a statement on their website.
"The Brazilian has signed for the next four seasons."
Filipe Luis joined Chelsea on the back of an impressive campaign for Atletico in which his surging runs from left-back helped his side win La Liga and reach the Champions League final in 2014.
"We wish him all the best for the future," Chelsea said on their website.
Coach Diego Simeone brought in Guilherme Siqueira and Cristian Ansaldi after Filipe Luis left but neither was convincing last season.
Atletico have been busy in the transfer market, with Jackson Martinez, Luciano Vietto and Stefan Savic among the players arriving. Arda Turan and Miranda have left the club.
(Written by Tim Hanlon; Editing by Neville Dalton)
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