The sims do need space, but I'm still baffled when they leave the largest rooms to stand outside, yet start playing in my teensy nursery where the baby is sleeping. *sigh* It also happens a lot when interacting with toddlers, doesn't it? For some reason, the parents prefer to teach their kids to walk in deep snow. Parents of the year
but I digress.
I've read on another thread that the game needs a few in-game days to get a handle on pathing in a house you've recently moved in, so perhaps waiting a while could help. If the problem persists, you could always fiddle around with room sizes and furniture positions. So far, it's more of a trial-and-error strategy for me, as opposed to an actual plan where to (not) put things. If all else fails, I'll just grumpily let my sim play in the rain if that's what they want to do. You could always move to a new house and see if it still happens there, too.