Rain is after all just water, so it would be just fine if the rain is not acid rain. You might break a few hair, but a few hair also breaks when you guys shower.
If rain water makes your hair skin itchy, it might just be a psychological thing. Tap water can contain chlorine (which is added to purify it) which might not be suitable for hair, but rain-water is free from it and can be beneficial.
Rain can make hair frizzy and when you try to comb your hair, a few might break. But it doesn't prove anything. Curls will break if you comb them but you will not get bald with it.
Moreover, hair loss is much connected with your hereditary traits and environmental influences are not much harmful. Still if guys are skeptic, you can always carry an umbrella.