Was the weight glued on the inside of the rim or clipped onto the rim lip? Those latter ones usually leave more stubborn stains.
I would try rubbing it with some Bug&Tar Remover (TurleWax) - it's a white milky fluid - applied to a cloth.
Another thing to try would be to spray it generously with Kaboom (available at Walmart or other supermarkets), wait 15-30 minutes, and then rub off with a cloth. But I think B&T Remover would be more potent here.
Afterwards, be sure to wax the rims.