According to The Mirror, Beckham expressed her feelings for Cole at friend Elton John's recent Oscars party.
Beckham reportedly said: "I have so much sympathy for Cheryl. My heart goes out to her - both as a woman and as someone in the media spotlight.
"I feel for her so much, it's a horrible situation but she's a fantastic, strong woman and she will be fine. David's not a Premiership footballer now, so I can't relate entirely. But I do sympathise."
Cole recently separated from her footballer husband Ashley after reports that he had cheated on her with a number of women.
It was claimed in 2004 that Beckham's husband David had slept with his then personal assistant Rebecca Loos.