O2 isn't necessary for rusting, but some source of oxygen is required. Rust is just another name for iron oxide, and without oxygen there can't be oxide.
The main culprit is actually water, although bleach will also cause iron to rust, as will vinegar or other acids. Rust is the combination of Iron and Oxygen (O2) .Without Oxygen rust can never form. Chemically rust is Fe2 O3 .
