Rhodes did not play in Friday night's 1-0 defeat against Cardiff on the Terriers' return to the Championship, with Grayson explaining the striker had picked up a hamstring injury with Scotland in midweek.
Reports continue to link Rhodes with a move to Blackburn or Fulham, but Grayson insisted the player is injured, and made it clear he will not be going anywhere on the cheap.
Grayson said: "He has got a hamstring strain. He came back from Scotland on Thursday morning, he travelled down with us but he felt it was a bit tight.
"He had an MRI scan this afternoon in Cardiff and it is a grade one tear. There is another game on Tuesday and he is 50/50 for that."
He added: "There is so much speculation over him, but he isn't going anywhere.
"You can never say never, (Robin) Van Persie has just gone to Manchester United and Arsenal are one of the biggest teams in the Premier League.
"Players have all got a price. If anyone offers the right money for Jordan we would have to consider it, but we are so far away from our valuation why would we sell him? He is a such a great commodity.
"They have to be serious bids if they want to take him."
Even without their star striker, Huddersfield looked assured on their return to the second tier, with midfielder Oliver Norwood excelling.
The former Manchester United man forced two great saves from man of the match David Marshall, while Scott Arfield also went close.
But they were denied a deserved point when Bluebirds skipper Mark Hudson struck the winner in injury time.
Grayson believes the performance has shown his side can compete in the Championship.
He said: "The players can look back on their performance with a lot of pride.
"We had quality in possession, and everything we had worked on to nullify the positive side of Cardiff worked, and it's a very cruel way to lose.
"Their goalkeeper was man of the match which shows how well we played, we are disappointed but we know if we perform like that over the rest of the season we will be all right."
Cardiff boss Malky Mackay was delighted to see his side sneak a win when they were some way below their best, with Craig Bellamy and Peter Whittingham having very little influence on the game, and mark their first competitive outing in their controversial red home shirt with three points.
He said: "It's always lovely to score late as it gives the opposition such little time to respond.
"We had to be patient tonight because of the way they played with a lot of men behind the ball, they are a team who have come into the division with momentum and it was never going to be easy.
"I thought we stuck in there and got our reward in the end. I have got to give Huddersfield credit but they were always likely to tire and when that happens you find yourself with opportunities."
