While it's better safe than sorry as everyone has said, a gun oil should not combust on its own, if it did it would be a really awful gun oil. Things like varnish, paint etc that pose a threat of combustion do so because as they harden, a chemical bond forms and energy is released that can generate a significant amount of heat in a closed container.I would not trust that I knew which oils were hazardous. Or cleaning solvents. Or a mixture of both. Thus the can is necessary for me.
If I used tung oil or some other kind of varnish I will dry rags on their own, but I don't clean guns with that stuff. Most of the gun cleaners i use like wipe out are non-flammable and probably mostly water.
If oil was spontaneously combustible, auto shops would be burning down all the time. How often do they re-use their floor dry.
Caution is worthwhile but being afraid of everything is not healthy either. I don't worry about sharks at the YMCA when I go to the pool. It is a good idea to learn about what you're using.