With the Ewood Park outfit having posted losses of £36.5million in 2012/13, they are looking to cut costs.
It has been suggested that parting with their most saleable assets would help to cut the debt and balance the books.
Prolific frontman Rhodes has plenty of Premier League admirers and is likely to be the subject of intense speculation in January, but Shaw insists Rovers have no intention of sanctioning sales.
He told the Lancashire Telegraph: "There has been no discussion about selling players - absolutely no discussions at all.
"The owners want this club to get back to the Premier League, so those discussions haven't taken place. And if they were to take place, they would be through correspondence with the manager.
"Like any club, the transfer window is coming and we don't know what's going to happen.
"There may be clubs out there who fancy some of our players. But we are not attempting to sell our first-team players, and that is on the instruction of the owners."
Shaw does, however, concede that Blackburn need to trim their wage bill if they are to comply with Financial Fair Play regulations - with any club which makes more than an £8million loss this season set to be hit with a transfer embargo from 1st January 2015.
He added: "We are doing our utmost to turn the corner and support the manager and his team so that they can challenge for promotion and at the same time cut the wage bill. That's the big number."
Rovers will still be looking to do business in the winter transfer window, though, with manager Gary Bowyer in the process of identifying potential new recruits.
Shaw said: "There's a lot of work going on behind the scenes.
"Gary is using his contacts and his scouting networks to see what things we might need. Then we'll see what we can do when the transfer window opens."