In Colossians 3:5, Paul lists a bunch of things to put to death in oneself, ending with "covetousness, which is idolatry". He also links the two in a similar way in a parallel passage in Ephesians 5:5. The usual explanation for how covetousness is idolatry is to find elements of idolatry in covetousness. At root, idolatry in the Hebrew scriptures is the placing of anything above God or in the place of God. Having your priorities in the wrong order can be idolatry if it involves moving God to any place lower than the top. So if you're longing after something that's not yours, to the point where you place your desire for it above your desire for God, including the desire to be righteous and to be content with what God has given you, then you are in effect practicing a sort of idolatry.
I was reading John Oswalt's commentary on Isaiah recently (p.499 of his second volume, to be exact), and I discovered that he conceives of the relationship in the other direction, drawing on the self-centered features of pagan idolatry that seek to use religious ritual to get a god's attention for benefit to the person engaging in those rituals:
In what way is acquisitiveness the sum of all sins? Perhaps it is as an expression of all the others. The proud, unbridled self wishes to make the universe center on itself, to draw all things inward to itself, confident that it can amass enough of the power, comfort, security, and pleasure that money and possessions signify it will be secure. Idolatry exists to satisfy these desires, so it is not surprising that Paul should identify covetousness as idolatry (Col 3:5). This may also explain why the prohibition of covetousness is the last of the Ten Commandments. To break this commandment is to break the first, in effect.
So it's not just that covetousness is idolatry because covetousness has features of idolatry. Covetousness is idolatry because idolatry itself stems from covetousness to begin with. My first thought on reading Oswalt is that he had it backwards, but I wonder if what he's put his finger on is actually the more fundamental relation of the two.