Rye flour and wheat flour are milled from different grains, which come from different plants. Both rye and wheat are cereal grasses and the same general family but they have some very different characteristics. These two flours are not perfectly interchangeable. To help you understand more about what you can expect from each, here is a SPICEography Showdown:
How does rye flour differ from wheat flour?
Rye flour has a different flavor than wheat flour. Bread that contains up to 40 percent rye flour is sometimes referred to as sour rye. The flavor comes from enzymes in rye flour that speed up fermentation.
Rye flour has less gluten than wheat flour. The result is that baked goods made with it do not rise as well. Bread made with rye flour is usually denser and harder than bread made with wheat flour.
Rye Flour 
Wheat Flour
When baking with rye flour, expect it to behave differently than wheat flour. Rye flour dough tends to be stickier than wheat flour dough, which means that you will have to knead it differently. Knead rapidly with light strokes to lessen contact with the dough, or oil your hands to keep the dough from sticking to them. None of this is necessary with wheat flour dough.
Bread made with a high proportion of rye flour can last longer than bread made only with wheat flour. Bread made with 100 percent rye is renowned for its long shelf life when compared to wheat.
One of the reasons for this is that rye flour has an important characteristic: it does not dry out as quickly as other flours. It contains pentosans, which are starches that allow rye flour to soak up several times its weight. The pentosans also don’t harden the way the starches in wheat and other types of flour do, which means that the bread doesn’t get hard.
The amino acid profiles of rye flour and wheat flour are different. Rye flour has all of the essential amino acids in adequate amounts. While wheat contains all of them as well, it doesn’t contain them in high enough amounts to be considered nutritionally sufficient.
If your recipe calls for one, can you use the other?
Rye flour can work as wheat flour substitute only in the sense that you can make the same things with it if you make adjustments. It won’t work if you expect a flour that performs and tastes the same way in the same recipe. Even lighter-colored rye flours still have more fiber and less gluten than wheat flour.
Note that while 100 percent wheat flour bread is simple to make, making one with 100 percent rye flour is relatively difficult, especially if you haven’t worked with it before.
Wheat flour can work as a rye flour substitute in most cases. but you should expect a fluffier and softer end product when it comes to bread. You won’t need as much liquid in most recipes and your proofing time for yeast doughs will be much shorter.
If you have the option, try combining rye and wheat flours rather than replacing one with the other.
When should you use rye flour and when should you use wheat flour?
Use rye flour to make bread, especially traditional rye bread like pumpernickel. Less popular applications for it include new twists on traditional wheat-based baked goods like pizza dough and pie crust. Wheat flour is a more generic all-purpose flour that you can use in almost any baked good as well as for general cooking purposes.