The 60-year-old agreed two years ago to join former club Inter Milan as an assistant to the president Massimo Moratti after coaching Finland.
But like the Manchester United boss, Hodgson, who faces Chelsea in his first game tomorrow, admitted he got "cold feet" after nearly taking the Finns to Euro 2008.
"The job with Inter would have been a lot easier and a lot less pressure," said Hodgson, who managed Blackburn for 17 months in 1997-98.
"But the Finnish job had gone so well and, as the day approached for me to hang up the boots, I got cold feet on the subject.
"I've been a little surprised by the interest in me, not just from Fulham but other sources as well."
Hodgson promised he will use his lifetime of contacts when he spends a £15million war chest in the January transfer window, and added: "I will have to move quickly."