Yes, steel rusts, as aluminum corrodes (and fatigues/fails much faster than steel), and carbon fiber becomes very vulnerable to collapse if a scratch goes through the clearcoat into the carbon weave.

But steel rusting through? Causing an issue that would make you concerned about the integrity of the frame? That would take a LOT of effort, like leaving it submerged in salt water for a few months.

Seriously, you might develop surface rust, inside the tubes or if a scratch were to go through the paint, but it is nothing to worry about. You can put an internal rust protectant on a steel frame, which is not a bad idea (google "frame saver"), as condensation collecting inside the tubes is much more of an issue than surface rust forming around a scratch or bare ding on the outside surface. If it's on the outside, just rub the affected area with a little wd40 (= rust gone!), then put some touch up paint (or nail polish, in a pinch) on it.

It's such a non-issue, though. Seriously.