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Rye doughs can be a bit difficult to work with because rye flour doesn't behave the same way as wheat flour. While rye flour has some protein, it doesn't have as much as wheat flour. Less protein means less gluten formation, which means a dough that's not quite as stretchy or elastic.
Rye doughs also tend to be much stickier than doughs made entirely from white flour. Because of that stickiness, some people try to add more and more flour to make it less sticky, until they end up with a dough that's very, very dense. And then you end up baking a brick.
There are two secrets to getting a rye-based dough that's relatively easy to work with and has enough elasticity to get a good hole structure.
First, a long overnight rise, which helps hydrate properly and form more gluten. This mitigates some of the stickiness but it'll still feel quite different than a normal wheat dough. The second tip is to add some high protein bread flour to the mix. This'll help give it enough elasticity so you can knead it and form it without it breaking and cracking.