The radio telescopes of the European VLBI Network (EVN) and the University of Tasmania (UTAS) conducted an extensive observation campaign of the European Space Agency's (ESA) Mars Express (MEX) spacecraft between 2013 and 2020. The campaign, carried out under the Planetary Radio Interferometry and Doppler Experiment (PRIDE) framework, aimed to study interplanetary phase scintillation and assess the noise budget in the closed-loop Doppler observations. The average closed-loop Doppler noise was determined to be approximately 10 mHz at a 10-s integration time, reaffirming the technique's suitability for radio science experiments. We evaluated how different observational parameters such as the solar elongation, antenna size, and elevation angle impact the Doppler noise. A key part of the analysis involved comparing results from co-located telescopes to investigate system noise effects. Co-located telescopes at both Wettzell and Hobart provided highly consistent results, with any deviations serving as diagnostic tools to identify station-dependent issues. Additionally, the use of phase calibration tones during spacecraft tracking showed that the instrumental noise contribution is of the order of 5 of the total noise. This study provides a detailed noise budget for closed-loop Doppler observations with VLBI telescopes while emphasizing the effectiveness of the co-location method in isolating system-level noise. These findings are important for optimizing future radio science and VLBI tracking missions using stations outside the the Deep Space Network (DSN) and European Space Tracking (ESTRACK) network.