Virtual reality (VR) enables the fast, free, and highly controllable setting of experimental body images. Illusions pertaining to a body, such as the rubber hand illusion (RHI), can be easily conducted in VR settings, and some phenomena, such as full-body illusions, are only realized in virtual environments. However, the multisensory-integration process in VR is not yet fully understood. Thus, it remains to be clarified if specific phenomena that occur under VR settings manifest in real life as well. One useful investigative approach is measuring brain activities during a psychological experiment. Electroencephalography (EEG) oscillatory activities provide insight into the human multisensory integration process. Nevertheless, EEG data can be vulnerable to VR noise, which causes measurement and analytical difficulties for EEG data recorded in VR environments. Here, we achieve an experimental RHI setting using a head-mounted display that provides a VR visual space and VR dummy hand along with EEG measurements. We compared EEG data collected in both real and VR environments and observed the gamma and theta band oscillatory activities. Ultimately, we observed statistically significant differences between congruent (RHI) and incongruent (not RHI) conditions in the real environment, which is consistent with previous studies. Differences in the VR condition were observed only on the late theta band oscillation, suggesting that the VR setting itself altered the perceptual and sensory integration mechanisms. Thus, we must model this difference between real and VR settings whenever we use VR to investigate our bodily self-perception.