Yes you can collect rainwater. Rain fills murky pools, and putting a hole to the bottom of a murky pool lets you collect the water.
Okay, prove it by recording an in-game video and posting it on the DFMA. Because I'm pretty damn sure rain doesn't create water.
EDIT: Okay, it says it in one place and one place only on the Wiki: the weather page. But what good is 1/7 water going to do you? It's certainly not going to do much other than evaporate.
