Ligand-modified Rh complexes were physically adsorbed on the surface of porous silica. The resulting materials were subjected to the continuous gas-phase hydroformylation of C2 and C4 alkenes. The ligands used for catalyst modification were bidentate phosphorus ligands known from the literature, namely, sulfoxantphos (1) and a benzopinacol-based bulky diphosphite 2. The tested catalyst materials were active and, in particular, selective as in comparable homogeneous liquid-phase experiments. Long-term stability experiments over 1000 h on stream showed minor deactivation. A significant increase in the catalyst mass after the reaction was detected by weighing and thermogravimetric analysis. By using headspace-GC–MS, the mass increase could be attributed to high-boiling compounds, which are formed in situ during the catalytic reaction itself and accumulate inside the pores of the support. Evidence is given that the initially physisorbed catalyst complexes dissolve in the high-boiling aldol side-products, which are suitable solvents for the active catalyst species and provide a liquid-phase environment held by capillary forces on the support.