Light propagation through an ensemble of ultracold Rydberg atoms in an electromagnetically-induced-transparency (EIT) configuration is studied. In strongly interacting Rydberg EIT media, nonlinear optical effects lead to a nontrivial dependence of the degree of probe-beam attenuation on the medium density and on its initial intensity. We develop a Monte Carlo rate equation model that self-consistently includes the effect of the probe-beam attenuation to investigate the steady state of the Rydberg medium driven by two laser fields. We compare our results to recent experimental data and to results of other state-of-the-art models for light propagation in Rydberg EIT media. We find that for low probe field intensities, our results match the experimental data best if a density-dependent dephasing rate is included in the model. At higher probe intensities, our model deviates from other theoretical approaches, because it predicts a spectral asymmetry together with line broadening. These are likely due to off-resonant excitation channels, which, however, have not been observed in recent experiments. Atomic motion and coupling to additional Rydberg levels are discussed as possible origins for these deviations