You must be connected to the internet to transfer a rental between a computer and another device. Rented movies can only be on one device at a time.
Connect your iPhone to iTunes and click on it on the menu bar. Go to the "Movies" section of your iPhone (not the movies section of iTunes). There should be a rented movies sub-section. Click on the transfer button.
I just rented a movie on my iPhone 4 and wanted to transfer it to my MacBook Pro. I then read Apple's FAQ and learned this:
Can I play my rental on more than one device?
*If you download a rented movie on your computer:* You can transfer it to a device such as your Apple TV, iPhone, iPad, or iPod if it’s a standard-definition film (movies in HD can only be watched on your computer, iPad, iPhone 4, iPod touch (4th generation), or Apple TV). Once you move the movie from your computer to a device, the movie will disappear from your computer's iTunes library. You can move the movie between devices as many times as you wish during the rental period, but the movie can only exist on one device at a time.
*If you download a rented movie on your iPhone 4, iPad, iPod touch (4th generation), or Apple TV:* It is not transferable to any other device or computer.
Point being, it looks like if you rent a movie on your iPhone 4, it's stuck only on the phone. I wish they would have made this much more clear before I went and did this. Like you, it was easier for me to download it on my phone, but I preferred to watch it on my computer. Just another annoying problem I'm learning the more I try to actually take advantage of my devices features....
This is rather poor, and I can't understand why such a restriction exists. A perfectly valid use case is that I rent a movie on my iPhone while I'm away on business, but then may want to finish watching it either on a larger screen, such my 24" iMac or AppleTV + TV Screen.
It should be noted that anything rented on an AppleTV is also "stuck" there, and can't be transferred to another device.
Classic. Just plugged my iPhone 4 into my Macbook Pro. I want to upgrade to the new iOS and iTunes comes up with the this message:
There are rentals on the iPhone “Patrick's iPhone”. You should transfer these movies to your iTunes library before updating this iPhone. Are you sure you want to continue?
But I'm reading online there's no way to move the rental from the iPhone to the Macbook iTunes library. Brilliant little conundrum here. Am I missing something?