Oiled rags do have a risk of spontaneous combustion.
They can be left unfolded to dry in a well ventillated area or better still leave it in its balled up wad and put in a closed jam jar for reuse later.
It is a problem we are taught about in college. The oil oxidises and this creates heat. The ball of rags traps the heat and some air and this allows the rag to catch light. Keeping it a sealed jar prevents an air supply to support combustion. Also some finishes used in wood finishes have chemicals that react as a catalist for, say, fast drying or to create a deep shine and this can be even more of a fire risk.