Hey Mikezx.

First off, please do not double post
I deleted your duplicate post in the Dynamics section as it is a rendering-specific post.

Anyhoo, Jay is correct. As you are rendering your images out to Jpegs, they do not carry an extra 8-bit alpha by nature, so it would be better for you to render your passes out to .iff, .tga, or .tiff.
That way you have an alpha for your rain layer.

All 3 formats are supported by AE as well, so you're good there

Also, if your rain is just a 2d pass of rain that only goes over-top of your shot, and you do not "fly through it", you can also just add the rain in post right in AE.

If you are not sure how to make rain in AE, there are TONS of tutorials regarding creating rain in AE.
Good luck!