0000 steel wool should not harm bluing. In fact, carding with 0000 steel wool is a final step in most bluing processes, even some cold bluing processes which generally provide a less durable finish than traditional bluing.
HOWEVER, rust particles are abrasive and if you rub the removed rust particles around on the bluing they will scratch and abrade the finish and can cause visible damage with enthusiastic rubbing.
For this reason, I generally do rust removal with 0000 steel wool that has been degreased. I degrease the surface to be worked on and I use the steel wool dry, not with oil. That makes it easy to dust away the rust particles as they are removed rather than having them build up in the removal area where they may be rubbed around on the finish during the process.
You want to start very lightly and frequently dust out the steel wool and dust off the surface to keep the removed rust particles from building up. Go slowly and stop when you can't see any more progress being made. There's no point in scrubbing after you've removed all that's going to come off without more aggressive techniques.
Most cold blues will make a finish more rust resistant than bare metal and some of them are nearly as effective as traditional bluing in terms of rust resistance. But you are correct--no bluing (cold or otherwise) can fully prevent rust, and none of them will remove rust.