To mathematically model the Rayleigh fading channel, we propose a new method to partition the received Signal-to-Noise ratio (SNR) range into a finite number of states and construct a finite state Markov chain (FSMC). Our method is based on the assumption that the transitions of the FSMC occur only between adjacent states. We provide numerical and simulation results to verify that our method constructs an accurate FSMC and our method outperforms existing methods.