They said, "It was raining heavily,when they came out of the theatre."

When transforming a sentence from direct to indirect speech, several changes are made, including adjustments in tense, pronouns, and time expressions. In this case, "It was raining heavily" needs to be changed to a past perfect continuous tense to reflect the earlier time frame implied by "when they came out of the theatre."

Option A: "It was raining heavily" is changed to "it was raining heavily," but the tense remains the same, and "when they had come out of the theatre" uses the past perfect tense unnecessarily.
Option B: "It was raining heavily" is correctly changed to "it had been raining heavily" to indicate past perfect continuous tense, and "when they came out of the theatre" maintains the correct tense.
Option C: "It rained" simplifies the tense but does not convey the continuous aspect indicated by "was raining heavily."
Option D: Similar to option A, it unnecessarily uses the past perfect tense for "when they had come out of the theatre."

Therefore, the correct answer is Option B: They said that it had been raining heavily, when they came out of the theatre.