The best thing would be to leave it, otherwise you could frighten it. If it is not sheltered and is getting wet, don’t pick it up. Find an old flower pot or bucket and place it on its side close to where the bird is. If you leave it alone it may then use that to shelter until the rain stops. You can put some food in too if you want, so the bird doesn’t have to go out in the rain to feed.
As some birds struggle to find food during heavy rain, keep your feeders topped up and try to keep them somewhere dry. If birds have a ready source of food, they won’t need to be out in the rain for so long.