Is it rude to say “what”?

It's not rude to say "What" because sometimes a person has to ask a question with WH words or in other words. For example, if someone comes to your house & you ask "who is standing outside". This is a genuine question, no harm in asking it. If someone declares it rude behaviour then what a person can do, nothing.

Wh words do not determine the rudeness, it is tone, style, speech, behaviour, and selection of words determine it. If a person's heart is full of anger, indeed, he will not have control over his speech, tone, and style. In that case, it would be called rudeness.

Never think negatively, all the time, every person should not take WH words negative, just using that will not make anyone harsh.
Here I will narrate a short story from real life. Once a person got rich, he decided to break off his relationship with old poor friends. He started to look for lame excuses. Once he went to his friend's house. He knocked on the door. He heard a word, "Who", from inside?
He said, Now I have become "Who" for you. If I am Who, Ok I will be Who for you, don't try to meet me henceforward." His poor friend came out, apologized, and say I did not recognize who was outside. As usual, this is what a person asks about the outsider who is he. But all his apologies & arguments were in vain. Because he had already decided to get rid of him, he just needed an excuse, he got in the word "Who".

Therefore, words like who, what, how, why, when, where, etc. do not make a person harsh or rude. These words can also be used gently. Yes, accent, style, language, speech, etc. determine it.

Be careful in the choice of words. But if a person has already made a decision, he will cut away from you entitling by titles. Don't worry about them.