Iron reacts with oxygen from the air during combustion and during rusting.  Iron should not only increase its mass during combustion but also during rusting.
*  Left: Protect the two pans by plastic pieces of equal size (3 x 3 cm).
*  On the right pan add 2 Liquemin metal closures. Balance the scale by steel wool on the left pan.
*  Moisten the steel wool and keep it wet until it is rusty all around. Leave it at a warm place for drying.
Observation: The scale is not longer balanced. The dry rust is more heavy than the dry steel wool.
* Right: The rust can be powdered between the fingers.
Explanation:
As rust is made of iron and from oxygen it is more heavy than the iron of the steel wool.