If we scrutinize the context in which rain resides, we can see the difference.
1. I enjoy walking in the rain. (here rain must be preceded with 'the' because 'the rain' expresses a situation or condition which will drenchs the speaker)
2. We got caught up in rain without either raincoats or umbrellas. (here 'the' is not placed in front of rain because we didn't get drenched.)
Thank you very much.
Just to add to 5jj's answer, there's nothing to indicate whether or not you got drenched or only a bit wet.