When atoms are excited to high-lying Rydberg states they interact strongly with dipolar forces. The resulting state-dependent level shifts allow us to study many-body systems displaying intriguing nonequilibrium phenomena, such as constrained spin systems, and are at the heart of numerous technological applications, e.g., in quantum simulation and computation platforms. Here, we show that these interactions also have a significant impact on dissipative effects caused by the inevitable coupling of Rydberg atoms to the surrounding electromagnetic field. We demonstrate that their presence modifies the frequency of the photons emitted from the Rydberg atoms, making it dependent on the local neighborhood of the emitting atom. Interactions among Rydberg atoms thus turn spontaneous emission into a many-body process which manifests, in a thermodynamically consistent Markovian setting, in the emergence of collective jump operators in the quantum master equation governing the dynamics. We discuss how this collective dissipation-stemming from a mechanism different from the much studied superradiance and subradiance-accelerates decoherence and affects dissipative phase transitions in Rydberg ensembles.