My coop is under a pole barn, so they generally just run under the barn when it starts raining. I do have a few who will stick along the side of the barn under the eaves and keep on foraging for bugs. I had come out my backdoor with their food the other morning, and they came running towards me. As I bent to pick up the bucket of feed, it started to rain and all I saw was chicken butts headed for the barn!
