For Lebesgue-absolutely continuous probability measures $\rho\ll \mathcal{L}^d$ in the whole space $\mathbb{R}^d$ with finite second moments (i-e $\rho\in \mathcal{P}^2_{ac}(\mathbb{R}^d)$), let $$ \mathcal{H}(\rho)=\int_{\mathbb{R}^d}\rho\log \rho \,dx $$ be the Boltzmann entropy.

Question:Is $\mathcal{H}$ continuous with respect to the quadratic Wasserstein distance $\mathcal{W}_2$? i-e is it true that $$ \mathcal{W}_2(\rho_n,\rho)\to 0 \quad\Rightarrow\quad \mathcal{H}(\rho_n)\to\mathcal{H}(\rho)\qquad ??? $$

I guess this should be known and written down somewhere. I looked at the classical references (Villani's books [topics...] and [old and new...], also in [Ambrosio-Gigli-Savaré]) but surprisingly enough I couldn't find the precise statement.

It is well known that $\mathcal{H}$ is $0$-displacement convex (in the sense of McCann). By analogy with the Euclidean setting, where any convex function $\phi:\mathbb{R}^d\to \mathbb{R}$ is continuous, I suspect that any displacement convex functional $\mathcal{F}:\mathcal{P}_2(\mathbb{R}^d)\to\mathbb{R}$ should be continuous with respect to the wasserstein distance $\mathcal{W}_2$. But maybe not...

This question arised in the context of my research: I am trying to construct weak solutions to some system of PDEs by means of the Jordan-Kinderlehrer-Otto/DeGiorgi's minimizing scheme, and I need the above statement in some technical step. Unfortunately the mere lower semi-continuity would not be enough for my purpose, I really need full continuity.