Umm, I hate to say it, but yeah...
They exist. I've seen the pictures - a few are available at BME. The reasons why someone would want one can be left to your imagination, I don't need to go into details. From what I've read, they're supposed to actually go right next to the rectum with the body jewelry going through the rectum itself (assuming a captive bead ring). And apparently, people can heal these up without infection. Definitely a rare item...