Bruce is looking to improve his attacking options over the summer and has been tracking the progress of Benitez, who plays for Mexican side Santos Laguna.
Dutch giants PSV Eindhoven have also been linked with a bid and Bruce says he is not prepared to get into an auction.
"I won't say how much they wanted, but let's just say he was much too expensive," said Bruce in The Sun.
"He's been linked with a couple of other clubs, but we're not going to get involved in an auction.
"We'll probably keep tabs on the situation for a while longer, but we won't pay over the odds."
The Latics chief confirmed a striker is his priority in the summer, with Manchester United youngster Fraizer Campell reportedly still a target.
Campbell was wanted by Wigan before he joined Tottenham on a season-long loan and Bruce is aware he needs attacking back-up.
He added: "As we only have Hugo Rodallega plus two loan men in Mido and Zaki in terms of strikers, you do not have to be a scientist to work out where my priorities lie."