Rhodes felt the game hinged on fine margins with Scott Brown coming close to giving Scotland the lead with a 30-yard strike that fizzed just wide.
Instead, Belgium netted the opener in the 37th minute after left-back Steven Whittaker's heavy touch allowed Marouane Fellaini to play Kevin De Bruyne down the right before his cutback was swept in off the post by Porto midfielder Steven Defour.
Rhodes, who replaced Leigh Griffiths midway through the second half, said: "We were playing against a very good side. You could possibly dissect the game into ifs and buts. Scott Brown's strike early first half looked like only millimetres away to us lot on the bench.
"If that strike goes in and we go 1-0 up, the game would be a whole different story.
"It was a matter of getting that first goal and unfortunately for us they managed to get it.
"I think we can take plenty of positives. They are a fantastic team with many great players. But we put in some good performances."
Scotland were not floored by the opener and probed for an equaliser without ever really creating a clear-cut chance, although Shaun Maloney came close with a first-time effort.
And, despite group leaders Belgium being largely in control for the final 20 minutes, Rhodes felt the scoreline was harsh on Scotland, who lost a second in the 88th minute when Grant Hanley's misjudgement let in Kevin Mirallas.
"We threw caution to the wind a little bit and threw myself and Ross McCormack on and went a little bit more direct," the Blackburn striker said. "You are going to leave yourself a little bit open at the back.
"I would rather give it a go and get beat 2-0 than settle for 1-0. That's my attacking mentality. You want the ball in the box and try to get it up the right end.
"When that happens, especially in international football against a terrific side, you are going to leave yourself open and unfortunately they managed to get that second goal."