The 27-year-old striker only officially joined the Owls last month, having impressed during a five-month loan spell from Middlesbrough, but The Sun claims that he could be on his way to Molineux before the summer transfer window closes.
Wolves are in the market for another striker, despite having spent heavily already this summer by bringing in 11 new faces, including the loan captures of forwards Diogo Jota from Atletico Madrid and Leo Bonatini from Al-Hilal.
Nuno Espirito Santo's side are thought to have failed with an £8m offer for Southampton's Sam Gallagher in recent days, while a mammoth £20m bid for Burnley's Andre Gray is said to be under consideration.
Prior to joining Boro, Rhodes had four prolific seasons in the second tier with Blackburn Rovers, where he scored 83 times in 159 league appearances.
Wolves, meanwhile, got their season off to the perfect start on Saturday as they defeated promotion favourites Boro at Molineux courtesy of a solitary Bonatini goal.