You can make it difficult and very hard in practice through antenna and component design in the case of small internal radios - in radios with external antennas it becomes a great deal harder though, and in radios that are open for modifications it becomes even more difficult.

That being said though - this is meant to apply to software defined/modular radios - that is systems wherein the entire point is that it does what the software tells it instead of having hardwired components meant only to receive certain frequencies.