This is problem 4.79(A) of Kirby's 1995 problem list, contributed by Gompf. It is my impression that it is still open.

There is some small progress: Remark 7.2 in this article observes that their constructions imply that a specific countable set of examples of exotic $\Bbb R^4$s cannot possibly cover a closed manifold. This is not a huge reduction, as only countably many exotic $\Bbb R^4$s could possibly be covers of the countable set of closed smooth 4-manifolds, anyway. But at least the examples are somewhat explicit.

I couldn't find any other references to this problem in the literature, but that doesn't mean there aren't any.

UPDATE: I emailed Bob Gompf; he is not aware of any recent progress.