Everything on a bicycle works together.
What's the dropout spacing of your frame? Ultegra hubs will come spaced to 130mm. If your frame is 135mm, and you're buying new hubs, I'd get XT hubs.
What kind of brakes do you have? Somebody mentioned Rhino Lite rims. Rhino lites have their place but I doubt they'll work with a road brake caliper. They're not the easiest rim to install tires on either.