What my dog really hears
**REXX 151 148 141 bytes **

(Kinda seemed appropriate)

i=arg(1)
m=i
o=translate(m,'',xrange('A','z'),'*')
p=0
do forever
   p=pos('REX',m,p+1)
   if p=0 then leave
   o=overlay(substr(i,p,3),o,p)
end
say o


Try it here

Notes for non-REXXers:


translate is a character replacement function (name comes from an assembler instruction on IBM MF).  It searches string1 for the characters in string3. Every time it finds one it replaces it with the same positioned one in string2. If string2 is too short it is padded with the pad character.


See here for translate function


overlay simply overlays the string1 on top of string2 at the specified position. 


See here for overlay function