Can I place a cap on my furnace exhaust to keep rainwater out?
"These furnaces". LOL. It is a poor carpenter who blames his hammer. 

I'd put a 45 degree elbow on it, pointing away from the intake duct and the roof (or any other structure). From that elbow add a short length of pipe with a 45 degree angle on it (or another 45 elbow), resulting in a vertical exit face orientation. Should keep 95% of the rain out without undue restriction. 

You could also just add a 90 degree elbow, but that may not clear your roof as well. This question shows how vents protruding from walls are set up the same. 

Disclaimer: I'm not an HVAC technician nor a code expert. I do have gobs of home construction and remodeling experience, as well as two decades of home ownership and improvement. This is what I'd do. YMMV.