Rhodes has been on the books of Blackburn since 2012 and has established himself as one of the better strikers in the Championship.
The Scotland international scored 21 goals and created 38 chances in 45 league appearances last season. So far this campaign, the former Ipswich Town striker has scored nine goals and created 14 chances in 24 Championship matches.
Blackburn are 18th in the Championship table at the moment with 29 points from 26 matches, just five points above the relegation zone.
Meanwhile, Wednesday currently find themselves sixth in the standings with 45 points from 27 games.