Rice has developed into one of West Ham’s best and most important players since breaking into the first-team in 2015, making 113 appearances in all competitions.
The 21-year-old’s form has attracted attention from London rivals Chelsea, with Blues boss Frank Lampard keen to welcome him to Stamford Bridge and preparing a £40m offer.
Rice in fact spent almost a decade at Chelsea’s academy before moving to West Ham in 2014 and is said to be keen to return to west London.
Cole, who played for both West Ham and Chelsea, says it would be a ‘big gamble’ for the Hammers to sell Rice as he is the ‘most important player’ at the club.
West Ham only just managed to avoid relegation last season and made a poor start to the 2020-21 campaign before beating Wolves on Sunday.
Speaking after the Hammers’ 4-0 win over Wolves, Cole was asked about Rice’s future at the club and told BT Sport: ‘It would be a big gamble to let him go because he is the most important player in that dressing room.
‘We talk about what he is worth as an asset to the club financially but how much is it worth to stay in the Premier League?
‘When you have got the back three and him and [Tomas] Soucek, and Noble to come in, all of a sudden you have got a nice solid base to build on there.
‘We have talked about the disconnect between the ownership group and the fans and I think it will be a step too far if they let him go.
‘He is so important to this West Ham team.’
Despite the intense transfer links surrounding Rice, West Ham coach Alan Irvine believes the player is happy and comfortable in east London.
‘Declan is extremely happy,’ Irvine said. ‘He was captain today [against Wolves], he is not somebody with other things on his mind.
‘All the players and staff have been fantastic. Declan is extremely happy here and is an important player for us.’
Rice and West Ham return to action on Wednesday, facing Everton in the EFL Cup, while Chelsea take on Jose Mourinho’s Tottenham tomorrow.