This is a very good question, one that is still a topic of scientific research. Here is the basic theory:

The solar system formed from a cloud of cold gas that collapsed due to gravity. A big glob of stuff formed in the center and eventually became the sun. Meanwhile, some of the cloud material orbited around the proto-sun (the gaseous cloud that underwent gravitational collapse to form the sun) and flattened into a disk. In the disk, some matter came together to form small planetoids that slowly grew. The matter that was closer to the center was also warmer so only the more dense stuff such as metals and rocks combined together to form planets; the warm gas was moving too fast to get caught. Farther away, everything was cooler so gases like hydrogen and helium could also get sucked up by the new planets. So the planets closer to the sun (Mercury, Venus,Earth, and Mars) are small and rocky while the ones farther away (Jupiter, Saturn, Uranus, and Neptune) are big gas giants.

Because it was cooler farther away from the sun it seems that it was easier for the big gas giants to also form moons (in fact there is quite a controversy regarding how the Earth and Mars got their satellites). As it turns out, these moons probably help keep trapped material that the planet has caught in rings instead of flying away or crashing into the planet. In addition, the rings seem to be partly made of frozen gases which don't exist closer to the sun. So the bottom line is that the farther away gas giants are much more likely to be able to form and keep rings than the inner rocky planets.