Rodrygo scored 17 goals and registered nine assists in 51 appearances for the club last season.
His Madrid teammates Vinicius Jr, Jude Bellingham, Dani Carvajal, Federico Valverde, Antonio Rudiger, as well as the now-retired Toni Kroos, were all nominated.
Kylian Mbappe, who arrived at Madrid from Paris Saint-Germain in the close season, was also on the shortlist.
"I was upset, I think I deserved it," Rodrygo told ESPN. "I don't want to belittle the players who are there, I think they deserved it also.
"But I think I had a place in the 30. It was a surprise but there is not much I can do as I'm not the one who decides these things."
Rodrygo primarily plays on the right but can also play on the left or as a centre forward, and is often utilized as a second striker by coach Carlo Ancelotti.
"Often, I'm just filling spaces," Rodrygo added. "Is someone missing there? Put Rodrygo in. Is someone missing on the right? Rodrygo. Is someone missing as number nine? Rodrygo. That's it.
"It may get in my way a little, but I'm a team player."
The winner of the award will be announced at a ceremony in Paris on October 28th.
