Madrid president Florentino Perez has made numerous attempts over the years to sign Neymar, even after his controversial transfer from Santos to La Liga rivals Barcelona in 2013.
Since Neymar joined PSG in a record euro;222 million deal last summer, Perez, club captain Sergio Ramos and Madrid's Brazil internationals Casemiro and Marcelo have all spoken about the possibility of the Brazilian playing at the Bernabeu.
Rajoy, speaking to AS ahead of Madrid hosting PSG in the first leg of the Champions League round of 16 on Wednesday, said he believed in the team's current strike force of Gareth Bale, Karim Benzema and Cristiano Ronaldo.
"I wouldn't like to see Neymar in the white shirt," Rajoy said. "I don't know about [Kylian Mbappe] but Bale, Benzema and Cristiano were great, and within a few months, people are doubting them. We should have a bit more perspective. I believe in them."