Sheffield Wednesday’s on loan striker opted out of stepping up from 12 yards during the club’s defeat to Yorkshire rivals Huddersfield Town, losing 4-3 on penalties after the two-legged tie finished 1-1.
The 27-year-old missed a penalty in February against Leeds United, seeing his spot-kick saved comfortably by Rob Green.
The Owls boss Carlos Carvalhal confirmed Rhodes’ reluctance when speaking to BBC Radio Sheffield.
“He said he did not feel confident,” said Wednesday’s Portuguese manager. “The worst thing I could have done was force him to take one.”
“It would have been a big mistake to make him take one. It’s one of the worst things you can do to a player.
“The five players who took them were the ones who had practised them best and said that they wanted to take them.”
Rhodes has spent the second half of the season on loan at Hillsborough from Middlesbrough having been used only six times by former Boro boss Aitor Karanka. Despite netting only three times he is set to complete a £10million permanent move to Wednesday in July.
Scotland team-mates Barry Bannan and Steven Fletcher both started for the Owls, while ex-Aberdeen goalkeeper Danny Ward was the hero of the evening saving two penalties.