When I try to exploit this Rayleigh distribution *Mathematica* couldn't answer.

    PDF[TransformedDistribution[
      Sqrt[x1^2 + x2^2], {x1 \[Distributed] 
        NormalDistribution[μ1, σ], 
       x2 \[Distributed] NormalDistribution[μ2, σ]}, 
      Assumptions -> μ1 == μ2 == 0], r]