Petroleum based oils will not spontaneously combust. A rag soaked with them will light instantly and burn though. Lighter petroleum products that can evaporate like gasoline and paint thinner can also give fumes that can ignite with a spark or pilot light.

Linseed, Tung, and even vegetable oils can air oxidize, heat up and spontaneously burn. But it takes a pile of them under the right conditions. If I gave you some rags and some linseed oil I doubt you could make a fire if you tried. But that does not mean they won't catch fire. They do.

When I refinish a stock with linseed I always take the rags out to my fire pit and burn them. Same if I am degreasing a firearm with solvent. I usually don't bother with a few bore patches.

Not recommended but I have been lazy on occasion with a small rag soaked with some linseed oil. I made sure it was completely unfolded and placed it in the middle of a concrete floor. I dont think you can generate enough heat to combust that way (famous last words) and when you pick them up in a few days they were hard and mostly dry.