Reports emerged on Thursday that Al-Ahli and Al-Ittihad are both keen on signing the Egypt international – with the transfer window in Saudi Arabia open until November 12.
Bilic revealed he has been aware of interest in Hegazi from the Middle East ever since he became Baggies boss.
But the centre-back put in an impressive display in the 0-0 draw with Burnley on Monday. And Bilic says the 29-year-old is too important to be sold.
"There has been an interest in Ahmed from Saudi since I came to the club last season," Bilic said.
“He’s a good player, and he’s from Egypt which makes him a bit more interesting for the clubs from Saudi.
“But like last year, he wants to stay here. He’s a good player, he’s playing and I’m glad he’s staying.
"I didn’t want him to go last year. This season I like him, he’s a top professional.
"He’s one of the few lads in our team who has Premier League experience.
“That’s important. He’s very experienced, a quality player and it’s good to have him in the squad.”
Meanwhile, Bilic admitted he feels sorry for Kamil Grosicki as the winger waits to find out if his move to Nottingham Forest has gone through.
Chris Hughton's side swooped to sign the Poland international on deadline day but submitted the paperwork 21 seconds after the deadline had passed – with the EFL yet to decide whether they will ratify the move.
"I feel sorry for him,” Bilic said. “He’s a brilliant guy, and also from our point of view, we need to know if we can include him in the squad or whether he is going to become a Forest player.
“The sooner we know the better, for him and us and also for Forest.
"The reason we needed Kamil to go was because we needed the funds.
"We needed to offload somebody to get players in - that was the reason. As a manager, he’s a quality player. He’s a proven player.”