The Colombiran striker has emerged as one of the most promising forwards in the Premier League.
Arsenal, Aston Villa and Stoke have all been linked with big-money summer bids, but Whelan insists he will not be allowed to leave on the cheap.
"I would say £15million for Rodallega isn't outrageous," he said in the Daily Mail.
"He is a player we do not want to sell and I would love it if he started next season with us.
"But equally sometimes we have to sell a player like this, we have no choice."