It’s due to the same mechanism that creates the rainbow itself!
Light reflecting within and refracted by water drops in the air gets sent “back” toward the viewer, resulting in a light area of sky. On the edge of that, the light is sorted by frequency, and shows up as bands of color (a rainbow!). Past that, the light is directed *away* from the viewer, resulting in an area that looks darker because there’s less light coming at you from it.
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