If you rented it on your Apple TV then you can't - from http://support.apple.com/kb/HT1657 :
- If you download a rented movie on your computer: You can transfer it to a device such as your Apple TV (1st generation), iPhone, iPad, or iPod if it’s a standard-definition film (movies in HD can only be watched on your computer, iPad, iPhone 4 or later, iPod touch (4th generation or later), 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 or later, iPad, iPod touch (4th generation or later), or Apple TV: It is not transferable to any other device or computer.
Thank you so much this answered my question, though I think it is weird iTunes does that. I wonder why if you download to computer you can transfer to other devices but not other way around. Do you happen to know why? It would be helpful if they changed that. If you start watching a movie on your Apple TV and later decide to finish or rewatch it on your IPad you should have that option. Again Thank you
I don't know why you can transfer it if you download it on a computer but not on an iOS device or Apple TV, nor whether it's likely to change. You can try leaving feedback for Apple : http://www.apple.com/feedback/itunesapp.html