"Helder's my boy," said Shi. "I don't want to let him go.
"Especially this season, he cannot go, as he is so important to the squad.
"There is strong interest from other clubs but my job is to keep him. It's very important for him to go to the Premier League, but together with us."
Costa was Wolves' first signing following their takeover by Chinese group Fosun when he signed from Benfica last summer, initially on loan.
He then became their record signing when he joined on a more permanent basis in January, completing a £13m move and signing a four-and-a-half-year deal.
"The first job was for him to come here," added Shi. "If I want to have a good career with Wolves, then that is bound up with Helder very tightly. Why should he go? I have to keep him."
On the back of the club's best season-ticket sales since relegation from the Premier League in 2012, fuelled by three new signings - Ryan Bennett, Roderick Miranda and Phil Ofosu-Ayeh - Shi promises further investment in new players for new head coach Nuno to work with.
"Money is not a problem," he added. "The only tricky thing is Financial Fair Play. I am not a supporter of that, but we have to think about it.
"The important thing is getting the quality. We need strong players. The goal for the season is only about promotion. We will focus only on this season. We will not think too much about the long-term future."
Interview with Jeff Shi recorded for BBC Sport by Wolves TV.
Wolves chairman Jeff Shi says the Championship club do not plan to allow star Portuguese winger Helder Costa to leave this summer, despite confirmed interest from other clubs.