It depends on what you mean by rubbing.
Rubbing of the breasts and body is no risk. Heavy rubbing of the genitals - her genitals with the woman's, or your penis against the woman's genitals - while unclothed can transmit herpes, syphilis, and HPV. Usually it requires the kind of heavy rubbing associated with intercourse, but not always.
Oral sex can transmit gonorrhea, chlamydia, syphilis, genital herpes type 1, and HPV.
This is lower risk than actual penetration, but is still a risk. If you all have herpes type 1, for example, there is no concern, unless someone has an oral outbreak and gives someone else oral sex. That could make it more likely that they'd get genital herpes type 1.
Have you given any thought to testing prior to having the threesome? If this is going to be more of a spontaneous thing, that limits the options for testing, but if this is going to be planned, testing on everyone's part would be a good idea.
It's definitely possible to have a threesome, just with a little planning. :)