The England striker fell out of favour at Old Trafford towards the end of last season and has since been linked with a whole host of clubs across Europe that include Premier League pair Arsenal and Chelsea.
Rooney reportedly handed in a transfer request at the conclusion of the last campaign, and Phelan feels that this may be down to the 27-year-old wanting a fresh goal in life.
Phelan told BBC Sport: "Wayne is at the greatest club you can be at. Why would you want to jeopardise that?
"Unless you want a fresh challenge and you feel that challenge isn't being met at Manchester United."
Rooney has also been linked with Barcelona, Bayern Munich, Paris Saint-Germain and Real Madrid.