Large language models (LLMs) have shown incredible performance in completing various real-world tasks. The current knowledge learning paradigm of LLMs is mainly based on learning from examples, in which LLMs learn the internal rule implicitly from a certain number of supervised examples. However, the learning paradigm may not well learn those complicated rules, especially when the training examples are limited. We are inspired that humans can learn the new tasks or knowledge in another way by learning from rules. That is, humans can grasp the new tasks or knowledge quickly and generalize well given only a detailed rule and a few optional examples. Therefore, in this paper, we aim to explore the feasibility of this new learning paradigm, which encodes the rule-based knowledge into LLMs. We propose rule distillation, which first uses the strong in-context abilities of LLMs to extract the knowledge from the textual rules and then explicitly encode the knowledge into LLMs' parameters by learning from the above in-context signals produced inside the model. Our experiments show that making LLMs learn from rules by our method is much more efficient than example-based learning in both the sample size and generalization ability.