Whole Wheat or Rye Flour - Making a Roux?

I was just struck by a random thought this morning as I sit here with my coffee. Has anyone tried using whole wheat or rye flour for making a roux? If so, does it thicken comparably to AP flour? I have no specific purpose in mind and I know it would taste different. I just thought I'd ask to see if anyone had tried it and what their experience was.

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