No, the rusting of iron is a chemical change because it is two substances reacting together to make a new substance. When iron rusts, iron molecules react with oxygen molecules to make a compound called iron oxide. Rusting would only be a physical change if iron molecules remained pure iron throughout the process.
The rusting of iron is an illustration of the principle of corrosion. Corrosion is a chemical change that usually occurs in metals that come into contact with an electrolyte. Water is the electrolyte that most commonly enables oxygen and iron to combine. This is why iron rusts when exposed to both water and air. Covering iron with a coat of paint or zinc is an effective way of deterring rust because it prevents the pure iron from coming into contact with air.
There are several processes iron can undergo that are physical changes. Melting and any other change of state is a physical change, as well as magnetising or demagnetising. In addition to that, any change of volume or mass is a physical change. The forming of iron into steel is also a physical change, as the individual molecules of iron are not changed in this process.