Audi A4 1.9 TDI 130BHP engine power loss when it's raining

This is the correct solution..........replace the solenoid valve N239 as the electrical connection is affected by dampness. What happens is that the EGR valve is jammed open by the solenoid and this allows oxygen starved air into the cylinders (exhaust gas) and combustion is poor.
Quick fix is to disconnect the vac hose to the EGR actuator and block the end with a self tapping screw or pencil. This will work for sure....

I know it sounds funny, but check the air flow sensor. They had issues on all models with 100 and 130 bhp turbocharged diesels from audi/volkswagen.

Hi! I think the water from the rain goes on the air filter

If your problem isnt fixed check your coil packs.

You can try some damp start spray available from most good car spares shops,its a water repellent that once sprayed on it dries to give a waterproof seal. spray this on all electrical joins and plugs under bonnet, pay particular attention to any sockets at front of engine bay that may be exposed rain/spray entering in from the front as you drive forwards also any near or under fenders,
not too familiar with model but hope this info helps
regards
dave.