The 22-year-old has been in impressive form for Colombia at the World Cup and scored twice during his country's 2-0 victory against Uruguay on Saturday.
Rodriguez joined his current club for €45m (£36m) last summer, but he admits that playing in La Liga has always been an ambition of his.
"I would love to play in Spain," he told reporters. "It would be a dream to play there - it is the best league in the world."
Rodriguez is currently the top scorer at the World Cup with five goals.