Bound states of solitons, alias soliton molecules (SMs), are well known in 1D systems, while making stable bound states of multidimensional solitons is a challenging problem because of the underlying instabilities. Here, a scheme for the creation of stable (2+1)D and (3+1)D optical SMs in a gas of cold Rydberg atoms is proposed, in which electromagnetically induced transparency (EIT) is induced by a control laser field. It is shown that, through the interplay of the EIT and the strong long‐range interaction between the Rydberg atoms, the system gives rise to giant nonlocal Kerr nonlinearity, which in turn supports stable (2+1)D spatial optical SMs, as well as ring‐shaped soliton necklaces, including rotating ones. They feature a large size, low generation power, and can be efficiently manipulated by tuning the nonlocality degree of the Kerr nonlinearity. Stable (3+1)D spatiotemporal optical SMs, composed of fundamental or vortex solitons, with low power and ultraslow propagation velocity, can also be generated in the system. These SMs can be stored and retrieved through the switching off and on of the control laser field. The findings reported here suggest applications to data processing and transmission in optical systems.