Because rust only needs an anode, cathode and electrolyte to form, cars are susceptible to it. The metal in your car can act as the anode and cathode. Water is an electrolyte. If the climate is humid enough, your car can develop rust even if it's under cover.
Some substances make it easier for rust to form on your car. One of the most common is salt. While water can act as an electrolyte, it's not very efficient at carrying electrons. Salt water is much more effective. An object that might rust slowly under normal conditions will rust quicker if it's in contact with salt water.
If you live near the ocean, your vehicle could be susceptible to rust due to the high salt content of the humid ocean air. But even if you live hundreds of miles away from the water, salt can still give you trouble. For example, many people use salt to get rid of ice and snow. As the ice melts, you're left with an electrolyte capable of turning your car into a rust bucket.
The primer and paint manufacturers use on cars provides some protection from rust. But if this coating is damaged from scratches or dents, moisture can make contact with the bare metal under the paint. Without the protection of the coating, your car will begin to rust.
Iron oxide forms easily and vehicles can develop rust in any region or environment. Cars in harsher environments or near oceans may be more susceptible to rust than cars in dry regions but no vehicle is completely immune.