Rhodes has been an important player for Rovers this season and the club are keen to keep hold of the £10m-rated man as they try to work their way back into the Premier League.
"There has been no discussion about selling our best players," said Shaw, according to The Mirror.
"The owners want to get back to the Premier League. We are not attempting to sell our first-team players – and that is on the instruction of the owners."
Blackburn currently find themselves in ninth position in the Championship table.