Since it's cheaper where I buy it and it seldom gets used up for cooking, my default is grapeseed oil. There are definitely better products specifically for inhibition of rust, but it works for me. Though, I think I agree with FortyTwo in this case - use wax.
There may also be something about the leather sheath, too. Sometimes storing blades in leather for a long time can cause trapped moisture to stay on the metal where it might otherwise air dry. But if it's happening that quickly, I wonder if it could be that the leather was tanned with formic acid or something similar that has not fully neutralized. I know little about this, so hopefully someone else can better inform.