They only shrink if you put them in the dryer afterwards ;-)
[Side Note: Never ever try to put a sheep in a dryer. Ever.]
**EDIT** For all of you who find your way here through google, looking for an actual answer to this question: It takes very hot water to relax wool fibers and then cause them to contract (shrink) and rain just doesn't reach those temperatures. Also, sheep don't get terribly wet anyways because their wool is coated with greasy skin secretions (lanolin). For more information, check out wikipedia.