Your question is a "non sequitur", which means "it doesn't follow".
Your "then" doesn't contradict your "If", so no mystery is implied.
Maybe you're trying to say that matter is somehow not conserved in the equation . . . 4Fe + 302 → 2Fe203 . But it is. There are 4 Irons and 6 Oxygens on each side, so conservation is not violated here.
I looked up "rust" on Floogle, and got slapped with pages and pages of chemistry that I don't completely understand. But what it's saying is that rusting is a very complex chemical process, AND it doesn't happen unless there's some water involved.
So the bottom line is that there's a lot more going on than simply
4Fe + 302 → 2Fe203 ,
there's water going in and out of the process at every stage, and when it's all over, you have rusty iron, and mass has been conserved.