Plainly: in the village itself, very little. There is no cinema, no museum and no covered attraction in Porto Covo. Anyone telling you otherwise is padding a list.
What people actually do is drive. Sines is 20 minutes away and has the castle with its Vasco da Gama museum. Badoca Safari Park is about 30 minutes inland and is the one that genuinely works in rain, because most of it is driven rather than walked. The Roman ruins at Mirobriga are about 30 minutes too, but they are open-air and only worth it in light rain.
In the village, the restaurants are the answer, and which day each one closes matters more on a wet day than a dry one, because there is nowhere else to sit it out. Worth keeping in proportion, though: this coast takes most of its rain between November and March, so a wet day in summer is rare enough to treat as a reading day rather than a problem to solve.