Local police cancelled the match after receiving intelligence that there could be violent scenes between the supporters.
Blackburn's 4-2 friendly defeat to Go Ahead Eagles on Friday was marred by clashes involving Rovers fans.
Agnew said that the club is yet to decide on a course of action.
He said: "We always take advice off the police and authorities, who have a much better handle on these things and report back to us.
"We've never put the blinkers on for this sort of thing. If something official came back then obviously we would act accordingly.
"We've got a very good record of fans travelling abroad. It's a great shame because a number of our fans will have paid money and taken time to come to these games over the weekend and I feel very sorry for them."
Steve Kean's team begin their quest to return to the Premier League against Ipswich Town on Saturday, August 18.