If you want to repack a self-extracting archive to common RAR archive, which exe to rar conversion typically represents, simply decompress the EXE file and repack it in standard RAR file. Renaming won't work, although WinRAR can access archives regardless of the file suffix, provided that the files are indeed compressed archives.
However, when you do that you will require a RAR compatible program to extract the content again. Nowadays, this should be possible in almost any file manager with RAR support, but its likely that no special exe to rar converter was made just for this purpose.