Well we don't know Jesus said “Come to Me and I will give you rest”. We only know that a book of the Bible says that Jesus said that. But if Jesus did say “Come to Me and I will give you rest”, I don't know why he didn't tell his followers to go to YHWH/Yahweh/Jehovah God for rest instead. Yes the NT says that God sent Jesus as a means of salvation, but the OT says that YHWH Elohim is salvation and that there is no savior besides him (besides YHWH Elohim).
The modern-day non-Christian Jews (the Jews of Judaism) believe they don't need a mediator between them and YHWH God. Furthermore, they pray directly to God (without saying 'in Jesus' name). Furthermore, even the Lord's prayer (also called the "our father" prayer", which the gospels says Jesus said is the way his disciples should pray, makes no mention of Jesus. Granted according to the gospels Jesus mentioned that prayer prior to his death and thus prior to his alleged resurrection, but nonetheless that prayer does not say to pray in the name of Jesus and it does not say to pray to Jesus. It is a very non-Christian Jewish type of prayer.
Even more puzzling to me is the statement in the Greek NT Bible that the name of Jesus is above every name, and thus claimed to be above the name of YHWH/Yahweh/Jehovah. Christianity started out as a Jewish religion and the Bible of the pre-Christian Jewish religion (the OT Bible) declares that YHWH is the highest and has no equal and that no God existed before YHWH. It also says "YHWH our God is one YHWH". It is largely because of those teachings that the Jews of Judaism reject the idea that Jesus is God and why they reject the Trinity doctrine.