If you heat your rust sample to drive off the water, what do you do with it after? Do you heat it in open air, or under an inert environment? If you heat it in air, it may oxidize, and if you don't cool it in a desiccator or similarly dry atmosphere, it may reabsorb water while cooling.
Anyway, I do work with Fe3O4 nanoparticles, and when I do UV-Vis measurements, I get a peak that starts absorbing around 350, but it doesn't really take off until 300nm or so. However, if your sample were oxidized, I would imagine Fe3O4 would be oxidized to Fe2O3, not the other way around...