Yes, you can be intercepted - if you lose the naval battle you will return to Xanthus, but the actual interception takes place in Rhodes - or as I like to picture it, along the sea path connecting the two spaces.
Rhodes coming with its own 2-point fleet, which makes it very difficult for another player to steal, is part of what makes it such a valuable prize.
Thanks for the answers, thats the way we played it but I was a bit confused.
It was quite an iteresting situation as Ptolemy need 2 VP to win automatically and was poised to capture Cyprus so an attack on Rhodes was worth a gamble. I had the upgraded Macedonian and Athenian fleet vs the upgraded Egyptian fleet, the Phoenician fleet and the Rhodian fleet so 4 vs 5. As usual I lost the dieroll (I needed 10 to draw and rolled a 4). Fortunately one of the other players managed to deny Ptolemy Coele Syria Salamis resisted 3 siege attempts with losing a siege point. At that oint we had to call time but it was good fun.