Saying something like "I feel that statement is rude" goes against the entire point of "I" statements. You are supposed to connect a specific action of theirs with the emotional reaction it caused in you. "Feeling a statement is rude" isn't you expressing an emotion or feeling, its you expressing an opinion.

A more valid way phrase it would "When you say $statement, it makes me feel $emotion/feeling", where x is an actual emotion or feeling, like angry/upset/disappointed/disrespected/worthless/don't care about me/etc.