Yes they do rust there because of the type of metal used and its not painted or coated in any way to prevent rust. Your brake discs' also rust too, throw some water on them come back the next day and the discs' will show some surface rust.
There is nothing to worry about. Having said that I did have some problems taking the rear wheels off because the rust kinda seized to the centre bore of the wheel. I put a very thin layer of grease there to prevent it from sticking in the future. If you do the same make sure its a tiny amount of grease otherwise when your brakes heat up the grease may run onto the disc.
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