Earthy smell of rain can be soothing. Plants secrete oils during dry periods, possibly to stop seeds from developing when there aren’t enough resources for them to thrive. When it rains, the water brings out the accumulated oils and they mix with a chemical called geosemin, which is produced by soil bacteria, to create a “musky” smell.

Bill Ypsilantis, a soil condition and health specialist at the Bureau of Land Management, told NPR that this is the same smell you feel when turning over the soil.

Also there is the smell of ozone - a molecule made of three oxygen atoms, generated when lightning interacts with the air, breaking up and recombining oxygen molecules with two atoms into chains of three instead.

It also creates a powerful association with rain.

Rain sounds are also comforting. The rhythmic pitter-pattern of rain hitting a roof, umbrella, or the ground below is called pink noise. Pink noise is a category of background noise that, like white noise, has all of the frequencies that humans can hear, ranging from 20 Hz to 20,000 Hz. Unlike white noise, which has the same volume at every frequency, pink noise has lower volumes at higher frequencies, which according to some research may improve our quality of sleep by decreasing our brain activity.

So the combination of melatonin, smell and sound creates the conditions for being sleepy.

My own theory has to do with preservation of energy. If it rains most animals have a harder time to foridge for food or you can even get sick if you prance around in the rain. 

If you can't eat you better not spend energy. And what better way to do it except by spending a rainy day in a borrow or our own beds? I think we just evolved to be lazy during rainy days. I still like my theory, although there is no proof for it.