The 26-year-old joined the Owls on loan until the end of the season on transfer deadline day.
Scotland international Rhodes only started two games for Boro this season and had not featured since 14 December.
"I love playing football and it's all I've ever wanted to do. When you can't do that on a Saturday afternoon, it hurts," he told BBC Radio Sheffield.
"You can feel quite distant from the game and I've tried to keep myself ticking over both physically and mentally.
"I like to think I've kept myself in a good physical condition so I'm ready when the time comes."
"It's very exciting to be here and I've played with five or six of the players before," Rhodes said.
"I'm hopefully coming here to help and get the collective aim which is to get the club out of the league.
"If this club can get to the Premier League, where I think it belongs, it will be fantastic for the area.
"There's loads of football to be played and you never know what is going to happen."