Baggies fans taunted McCarthy at The Hawthorns by chanting 'you're getting sacked in the morning' after goals from skipper Chris Brunt and substitute Peter Odemwingie sealed victory for their side.
Wolves are in freefall after collecting seven points from their opening three games and their run of defeats is their worst at top-flight level for 27 years.
But Hodgson expects Wolves owner Steve Morgan not to press the panic button.
He said: "I can't imagine for the life of me that Wolves would want to sack Mick McCarthy.
"He's done a fantastic job - and he's doing a fantastic job.
"His team are very well organised and lost only because we were able to deal with the pressure they put us under, then played well when we had the ball. I don't think his team played badly at all.
"If we lost 2-0 and played as well as his team played here, I would be expecting, if anything, although I wouldn't get it, a pat on the back rather than people telling me 'you deserve to be sacked'.
"Fans like that song now. One day someone will tell me how that excites and embellishes their lives, knowing that someone else is going to get sacked in the morning.
"That's the one thing I've not quite come to terms with."
McCarthy insists he is not feeling any more pressure than normal and refuses to blame his players for the slide towards the bottom three.
He said: "It is not the players putting me under pressure directly. It's my performances as well. It's my team.
"You hand it over to the players, it's their responsibility, but it's no more pressure than I've been under normally."
McCarthy was unhappy with the behaviour of West Brom midfielder Paul Scharner.
He claimed his players were upset because Scharner had lifted his match shirt and displayed the contents of a T-shirt towards some of them during the latter stages.
McCarthy said: "Scharner had something on his T-shirt and showed it to the lads over the other side (of the pitch).
"There is no need for it and maybe that upset the lads. You can lose but you don't need your nose rubbing in it.
"If there were words said (between the players), it would have been because of that. He lifted up his shirt, there is no need for it.
"Take the mickey with the ball, that's the game. I get the hump with it."
But Scharner is adamant his actions were not meant to anger the Wolves players.
He said: "My kids gave me the T-shirt. They stuck a club logo on it and I was just showing it to the fans. That's all."