"Rescue Me" Is A Song By Madonna From Her First Greatest Hits Album The Immaculate Collection. It Was Released As The Third Single From The Album Without Any Music Video. Along With "Justify My Love" This Was One Of Two New Songs On Madonna's The Immaculate Collection Greatest Hits Package. Here She Wants To Be Rescued From Loneliness And A Lack Of Love. Madonna Wrote And Produced This Song With Shep Pettibone.