The Scotland international was the subject of numerous bids from Premier League side Hull City, who were said to be prepared to part with around £12m for his services.
However, Championship outfit Blackburn held firm, meaning that the 24-year-old remained at Ewood Park.
"You don't want to lose a player of Jordan's quality but if the bid was what I was led to believe it was, I was surprised that Blackburn didn't take it on the basis that it was a lot of money," Sutton told the Lancashire Evening Telegraph.
"Jordan Rhodes is not the quickest and he's not the strongest aerially but he guarantees you goals – he's just a natural. But with the money Blackburn could have got for him, it would have been interesting to see who they would have reinvested it in."
Rhodes has scored 55 goals in 101 appearances for Rovers.