<?xml version="1.0"?><ownershipDocument><schemaVersion>X0101</schemaVersion>    <documentType>4</documentType><periodOfReport>2003-05-19</periodOfReport><notSubjectToSection16>0</notSubjectToSection16><issuer><issuerCik>0000856716</issuerCik><issuerName>WESTERN GAS RESOURCES INC</issuerName>        <issuerTradingSymbol>WGR</issuerTradingSymbol></issuer><reportingOwner><reportingOwnerId><rptOwnerCik>0001228362</rptOwnerCik><rptOwnerName>STONEHOCKER WALTER L</rptOwnerName></reportingOwnerId><reportingOwnerAddress><rptOwnerStreet1>  </rptOwnerStreet1><rptOwnerStreet2>  </rptOwnerStreet2><rptOwnerCity>  </rptOwnerCity><rptOwnerState>  </rptOwnerState><rptOwnerZipCode>  </rptOwnerZipCode></reportingOwnerAddress><reportingOwnerRelationship><isDirector>1</isDirector><isOfficer>0</isOfficer><isTenPercentOwner>0</isTenPercentOwner><isOther>0</isOther><officerTitle></officerTitle><otherText></otherText></reportingOwnerRelationship></reportingOwner><derivativeSecurity><securityTitle><value>Stock Option Right to Buy</value></securityTitle><conversionOrExercisePrice><value>38.76</value></conversionOrExercisePrice><transactionDate><value>2003-05-19</value></transactionDate><transactionCoding><transactionFormType>4</transactionFormType><transactionCode>A</transactionCode><equitySwapInvolved>false</equitySwapInvolved></transactionCoding><transactionTimeliness><value></value></transactionTimeliness><transactionAmounts><transactionShares><value>2000</value></transactionShares><transactionValue><value>0</value></transactionValue><transactionAcquiredDisposedCode><value>A</value></transactionAcquiredDisposedCode></transactionAmounts><exerciseDate><value>2004-05-19</value><footnoteId id="F1"/></exerciseDate><expirationDate><value>2009-05-18</value><footnoteId id="F1"/></expirationDate><underlyingSecurity><underlyingSecurityTitle><value>Common Stock</value></underlyingSecurityTitle><underlyingSecurityShares><value>2000</value></underlyingSecurityShares></underlyingSecurity><postTransactionAmounts><sharesOwnedFollowingTransaction><value>2000</value></sharesOwnedFollowingTransaction></postTransactionAmounts><ownershipNature><directOrIndirectOwnership><value>D</value></directOrIndirectOwnership></ownershipNature></derivativeSecurity><footnotes><footnote id="F1">Grant to Reporting Person of options to purchase 2000 shares of common stock of Western Gas Resources, Inc. Options vest in annual 1/3 increments commencing on the first anniversary of the grant date and expire on the earlier of (i) 5 years from the vesting date of any option; or (ii) 10 years from the date of grant. </footnote></footnotes><ownerSignature><signatureName>/s/ William J. Krysiak, Attorney in Fact for Walter L. Stonehocker</signatureName><signatureDate>2003-05-21</signatureDate></ownerSignature></ownershipDocument>

