Rust was last seen in Saguache, Colorado at 7:30 p.m. on March 31, 2009. He was riding a friend's red and white Honda CRF-230 Enduro off-road model motorcycle northbound on a forest service road near his home, which is near mile post 92 on Highway 285. He stated someone had burglarized his residence and he was going to track down the burglar(s), who left tire tracks in the dirt and snow. He has never been heard from again. All indications were that Rust didn't intend to be away from home for very long; he left his cellular phone behind, and didn't take any of his off-road motorcycle gear. He also left groceries, still in their bags, on the kitchen counter, and some items within the home were out of place.

An extensive search of the 35-square-mile radius around Rust's house turned up no sign of him. Searchers did find a bloodstained vest south of his home. DNA testing proved the blood was Rust's. From the pattern of the stain, it appeared as if whoever wore the vest had been struck on the head from behind. A .22 caliber revolver was missing from his home, and searchers found one of the weapon's wooden hand grips in an open field near his home.

In early May 2009, a little over a month after Rust's disappearance, his friend's motorcycle was found at the bottom of a steep, rocky ravine near the Cotton Creek trailhead in the San Isabel National Forest. Rust's blood was on the seat. Authorities stated it didn't look like the bike had been in a collision; rather, it appeared as if it had been pushed or thrown 65 feet down into the ravine. No indication of Rust or his body could be found in the area.

Investigators believe Rust was beaten and kicked to death after he confronted two men who had burglarized his home. From evidence found at the scene where the vest was located, they think one of the attackers was a large man wearing irrigation boots and the other was a smaller man in motocross boots. They were driving a small wheel-based pickup truck with an attached trailer.

Rust is an avid biker and co-owned the Colorado Cyclery bike shop in Salida, Colorado. He liked to make his own bicycles, using a large front wheel and a smaller back wheel. He was inducted into the Mountain Bike Hall of Fame in 1991. Rust lived in a very rural, remote area; it would be hard to find his home if you didn't know it was there, and you would need an off-road or four-wheel-drive vehicle to reach it. Rust is described as an extremely frugal man who had no wife or children and enjoyed his rural surroundings. His case remains unsolved and foul play is suspected.