Real president Florentino Perez is "obsessed" with Rooney, according to the club's former president Ramon Calderon, and Hodgson can understand why the England international is so highly-rated.
"Wayne Rooney is proving he is among the best in the world every week," said Hodgson.
"He is scoring lots of goals in a tough league like ours. He is starring for England and is starring in the Champions League.
"Anyone doing that is a player who will be talked about and someone everyone else is going to be coveting. It is no surprise people are coveting Wayne Rooney.
"It is pointless for me to say Wayne Rooney is an excellent player because you could get that from the man in the pub.
"I just know we don't have that kind of money."