It's not rude to indicate what other school you have chosen to attend. In fact, it's helpful and perferred.
As someone who has worked in multiple admissions offices, I can tell you that AdComms like knowing where you've chosen to attend instead of their school; it helps them identify their chief competitors and fine tune their message when competing for applicants. They keep statistics on this kind of thing, and if you're not going to matriculate, the least you can do is provide another data point.
Many schools send a withdrawal postcard or sheet with the admissions packet, and most of those
have a line for inserting what school you are attending instead. Some, such as WUSTL and Minnesota, even send out a survey afterwards asking what school you went to, your reasons for applying to their school, reasons for choosing the school you chose, etc.
Information like that is particularly helpful as it lets schools know if you picked a school for location, prestige/rank, monetary, or other reasons.
An email to the admissions office stating that you would like to withdraw your application because you will be attending another institution is fine. If you haven't picked another school, simply stating that you would like to withdraw your application from consideration is sufficient.