Do the needful means do that which is needed. It's mainly used in formal written communication, especially when dealing with bureaucracy. It can be preceded by the words “kindly” or “please.” Ideally, it should follow an explanation of a problem that needs to be fixed or a request that is being made.

Is it rude to say please do the needful?

Please do the needful." To directly answer the OP's question, it is exceptionally rude. It is presumptuous in telling rather than asking, and carries a condescending tone.

Can we use please do the needful?

Both can be appropriate. Kindly do the needful." Please assist."