Sharing an umbrella is considered romantic in Japan. This comes up quite often in anime, and many people unfamiliar with Japanese culture find this strange. Sharing an umbrella is just sharing an umbrella, after all.
How sharing an umbrella is romantic is quite obvious however once you have done so with someone to whom you are close (not necessarily romantically!). The person holding the umbrella tries to keep the other person dry, their own clothes be damned. The person sharing the umbrella tries to stay close to keep their partner dry and make it easier for them to cover themselves. This mutual empathy is nothing but the height of love, romantic, familial, or otherwise.
With the luxury of large umbrellas, this romance is less apparent, but a smaller umbrella really tests where one's heart lies.