As far as I can tell, there is no such thing as a harness that a rat cannot get out of. The problem may be insurmountable; the way you keep harnesses on cats and dogs is to fasten them around narrower parts of the animal, and your average rat is shaped roughly the same as your average potato. On the other hand, it is possible to construct a harness that a rat will entirely ignore, or at least find that it's more trouble to wriggle out of than to stay in.
I believe I have now achieved this. The rodents have tiny little gladiator-style harnesses made of stainless steel split rings. Split rings are those things you get keychains on, where you pry one end up and jam the key under it, then rotate it around the ring until it's securely on the loop. Working with tiny split rings (I think the main ones are 12 or 15mm) is a pain in the ass, but it's not like rat harnesses are that big, and I'd be wary of using regular craft chain. Anything you buy that's made of metal probably has the tensile strength to contain a rodent, even rodents as fat as ours, but rats are Olympic-grade squirmers. Most craft chain doesn't have the links welded together, and will come apart if twisted enough, which the rats will undoubtedly do.
I didn't even bother putting clasps on them. It's just as easy -- or difficult -- to get it on the rat by jamming it over his head and getting him to stick his feet through the loops. Once on, it should surprise no one that the rats are far more interested in smelling floor objects than escaping. I wouldn't take them outside like this; for actually leading the rat around, the harnesses are nearly worthless, since pulling on it usually just inspires the rodent to slip a foot out to make the pulling less effective. On the other hand, if your main objective is just keeping track of the furry little bastard so you know when you should pick him up and take him away from, say, duct tape, they work wonderfully.