We propose a scheme for the creation of stable optical Ferris wheel (OFW) solitons in a nonlocal Rydberg electromagnetically induced transparency (EIT) medium. Depending on a careful optimization of both the atomic density and the one-photon detuning, we obtain an appropriate nonlocal potential provided by the strong interatomic interaction in Rydberg states that can perfectly compensate for the diffraction of the probe OFW field. Numerical results show that the fidelity remains larger than 0.96, while the propagation distance has exceeded 160 diffraction lengths. Higher-order OFW solitons with arbitrary winding numbers are also discussed. Our study provides a straightforward route to generate spatial optical solitons in the nonlocal response region of cold Rydberg gases.