We have studied the behavior of cold Rydberg atoms embedded in an ultracold plasma. We demonstrate that even deeply bound Rydberg atoms are completely ionized in such an environment, due to electron collisions. Using a fast pulse extraction of the electrons from the plasma we found that the number of excess positive charges, which is directly related to the electron temperature Te, is not strongly affected by the ionization of the Rydberg atoms. Assuming a Michie-King equilibrium distribution, in analogy with globular star cluster dynamics, we estimate Te. Without concluding on heating or cooling of the plasma by the Rydberg atoms, we discuss the range for changing the plasma temperature by adding Rydberg atoms.