The relativistic effects for static polarizabilities a and hyperpolarizabilities gamma of rare gas atoms (Ne through Rn) are investigated theoretically with the third-order Douglas-Kroll method. The results yield interesting trends of relativity in going from Ne to Rn: The relativistic effect decreases alpha values of Ne and Ar and increases the values of Kr, Xe, and Rn, and it decreases gamma values of Rn slightly and increases the values of other rare gas atoms, while the electron correlation effect increases alpha and gamma of all rare gas atoms.