First, as others have noted, we must have $f(0) = 0$. Let us now "construct" such a function on $\mathbb R^{*}$ using the Axiom of Choice.
Using $f(x) = x - f^{-1}(x)$, it is easy to see that, if $A \in \mathbb R^{*}$ is such that $f(A) = B$, then the following cycle must occur:
$$A \mapsto B \mapsto B - A \mapsto -A \mapsto -B\mapsto A-B \mapsto A$$
(Note that this proves that the function is odd.)
Therefore, an idea to construct such a function is for instance to set $B = -2A$, so that we have the following cycle:
$$A \mapsto -2A \mapsto -3A \mapsto -A \mapsto 2A \mapsto 3A \mapsto A$$
If we could partition $\mathbb R^{*}$ into sets of the form $\{-3A,-2A,-A,A,2A,3A\}$, we could easily define the function on each of these sets using the cycle above.
To do so, we can use the Axiom of Choice and take the quotient of $\mathbb R^{*}$ by the equivalence relation $$A \equiv B \Leftrightarrow \exists (p,q) \in \mathbb Z^2, A = \pm 2^p 3^q B$$
The Axiom of Choice gives us a set $X$ such that $\mathbb R^{*} = \coprod_{A \in X} \bigcup_{(p,q)\in\mathbb Z^2}\{\pm2^p3^qA\}$.
Then, for each $A\in X$, we can construct $f$ on $E_A = \bigcup_{(p,q)\in\mathbb Z^2}\{\pm2^p3^qA\}$. Indeed, since $\mathbb Z^2$ is countable, we can order it and use induction to build our cycles. When considering the $n$-th element of $\mathbb Z^2$, either it does not appear in a cycle formed by one of the previous elements of $\mathbb Z^2$, in which case we build $f$ on the cycle formed by the current element; or it does, in which case we skip the element.
It is easy to check that the function built this way has the required properties.
Note that I have no idea if we can build such a function without using the Axiom of Choice, but I doubt so.
Edit: I finally found a constructive solution, see my other answer. (If it is inappropriate to double-post, I will merge both answers.)