Rhodes is likely to start against Wenger's side in the Gunners' FA Cup fifth-round clash against Rovers this afternoon.
Wenger has pointed towards Rhodes's impressive goalscoring record as proof of his quality, insisting that he could have had a special career had he joined a big club as a youngster.
"When you look at his record it is quite impressive," Wenger told reporters. "You wonder today what kind of career this boy, would have had if he had gone to a big club at 18 or 19.
"Rhodes has scored 20 goals in 25 games so he must have something special and a big intelligence in the box.
"He has a big level of anticipation and he is a skilful finisher. You don't see him too much outside the box in participation but when you look at his record it is impressive. He can prove [his talent], yes, but I hope not against us."
Rhodes joined Blackburn for a record Championship fee of £8m in 2012.