If the fly sheet is waterproof, there is no reason why not leave it on your horse when raining. It will protect your horse from the rain and will help keep your horse dry. However, not all fly sheets are waterproof or water-resistant. In that case there is no point in leaving it on when it rains as the water will go right through it. As it gets wet it will start to stick to your horse's body and may make him feel uncomfortable. Whereas it's not a big deal if your fly sheet gets wet, it's important to clean them regularly because they trap lots of dust and lint that can build up on the surface and become a source of irritation and infections.