The Scarlets are set to sign the Wales full-back on a National Dual Contract (NDC) with the WRU, after Halfpenny left Toulon in the summer.
Davies wants Halfpenny, 28, back in Wales after three seasons in France.
"Talks are ongoing," Davies confirmed to BBC Wales News' Welsh language Newyddion 9 programme.
"I think the Union and the regions are eager to ensure that the best Welsh players play in Wales.
"Those discussions are ongoing but there is no development that can be announced as yet."
Davies refused to be drawn on which of the four regions Halfpenny would be joining if he agreed to return to Wales.
"We're looking forward to bring him back to play his rugby in Wales so that he's considered as one of the game's heroes and that the kids and the next generation can see one of our best players play in Wales," Davies said.
Halfpenny has spent three seasons in Toulon after joining from Cardiff Blues but is set to link up with the Scarlets rather than his former region.
The WRU would pay 60% of his contract as part of the NDC, with the Scarlets contributing the other 40%.
"The regions are always looking to retain, first of all, and then repatriate our leading players to play rugby in Wales," added Davies.
"It's important for the young generation to see their star players being readily available for them to watch most weekends."
Scarlets general manager Jon Daniels remained coy on whether Halfpenny was heading to Llanelli.
"We are preparing for next season with the squad that we have got," said Daniels.
"If there is anything on Leigh Halfpenny in the near future, I am sure the Welsh Rugby Union will be making that statement when they are ready to do so. Until then we are getting on with our preparations.
"We have a squad here who has been working hard for a good couple of weeks and we are looking forward to the challenge."
Talks are under way to bring Leigh Halfpenny back to Wales, Welsh Rugby Union chairman Gareth Davies has confirmed.