I could be totally wrong here, but I think .particle is a format designed specifically for Sins, just as .mesh is. And unlike .mesh, particles are just built in the particle forge, not from an already established file type as .mesh/.xsi are. So I would guess you couldn't take a particle and put it into 3DS max.
That said, particles themselves are pretty simple shapes. Any fancy particles would have either a texture file or its own model to use, which you could use in 3DS max.