You have to look at the whole song. Adele is saying that she felt burned in this relationship. You cannot set fire to the rain. It is meant to be allegorical.

"Set Fire To The Rain" I let it fall, my heart, And as it fell you rose to claim it It was dark and I was over Until you kissed my lips and you saved me My hands, they're strong But my knees were far too weak, To stand in your arms Without falling to your feet But there's a side to you That I never knew, never knew. All the things you'd say They were never true, never true, And the games you play You would always win, always win. [Chorus:] But I set fire to the rain, Watched it pour as I touched your face, Well, it burned while I cried 'Cause I heard it screaming out your name, your name! When I lay with you I could stay there Close my eyes Feel you here forever You and me together Nothing gets better 'Cause there's a side to you That I never knew, never knew, All the things you'd say, They were never true, never true, And the games you'd play You would always win, always win. [Chorus:] But I set fire to the rain, Watched it pour as I touched your face, Well, it burned while I cried 'Cause I heard it screaming out your name, your name! I set fire to the rain And I threw us into the flames When it fell, something died 'Cause I knew that that was the last time, the last time! Sometimes I wake up by the door, That heart you caught must be waiting for you Even now when we're already over I can't help myself from looking for you. [Chorus:] I set fire to the rain, Watched it pour as I touched your face, Well, it burned while I cried 'Cause I heard it screaming out your name, your name I set fire to the rain, And I threw us into the flames When it fell, something died 'Cause I knew that that was the last time, the last time, ohhhh! Oh noooo Let it burn, oh Let it burn Let it burn