It has emerged the relegation-threatened Latics asked the Owls about the possibility of taking Rhodes on a temporary basis earlier in the January transfer window.
But Wednesday rebuffed Wigan's attempts to sign the 29-year-old on loan until the end of the season.
It is understood the Latics offered a derisory loan fee and only offered to pay a small proportion of Rhodes' salary to add him to their forward line.
Sheffield Wednesday boss and chairman unhappy after attackers leave for Premier League
Darren Moore dismisses Barry Bannan over-reliance notion after surprise Sheffield Wednesday sub call
Chris Wilder says Sheffield United "ready to rock and roll" after Middlesbrough draw
Sheffield Wednesday mull over loan offers - confirm that one has been rejected
Why Sheffield Wednesday left Dennis Adeniran out completely against Charlton Athletic
It remains to be seen whether Wigan, who are currently second-from-bottom in the Championship, will resurrect their interest in Rhodes.
In the absence of injured top-scorer Steven Fletcher, the Owls' club-record signing is battling for regular game time with Sam Winnall and Atdhe Nuhiu in attack.
Rhodes, a big hit during his season-long loan at Norwich City last term, looked back to his devastating best in front of goal when he scored a stunning hat-trick against Nottingham Forest on December 14.
But the Scotland international lost his place in the team over the festive period and has been an unused substitute in their impressive away victories at Brighton and Hove Albion and Leeds United.
It is no secret that strengthening their forward options is at the top of Wednesday's priority list this month.
Yet it is not beyond the realms of possibility that Rhodes could still play a part in Wednesday's pursuit of a top-six finish.