No one rescues them. Everyone dies, seriously. The police "tried" to save the day from the mad doctor but the situation resulted in mutual annihilation. As for the human centipede, the first "segment" killed himself and the third spontaneously died a few minutes later leaving the middle segment alive, alone and trapped, surgically fused ass to mouth with the two other people. End of flick. Strange german shit though and through if you ask me, how or why they come up with sick shit like that is beyond me but I'm thinking it appeals to their sense of weirdness.