Wigan Athletic are one of a number of clubs that have been credited with an interest in the 23-year-old, but Shaw has quelled suggestions that he could be sold.
Shaw told the Lancashire Evening Telegraph: "We have no plans to sell Jordan and we don't want to sell him. He's not for sale. If it was a Premier League club it might be a different case because Jordan would probably want to go.
"But we have no plans to sell to another club in the Championship and he is not for sale, as we've said all summer. We're trying to get out of this division so we certainly wouldn't want to sell to a competitor in the Championship."
Rhodes scored 28 goals in 48 games for Blackburn last season.