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]

I Wanna Drive the Distribution of Rayleigh in parametric form Mathematica could Solve this for N~[0,1] and the answer is Rayleigh[1] but for N~[0,k] has no Answer!!!