I know a valid reason for this one. Some rail lines power trains through an overhead catenary charged with kilovolt power. The metal frame of an umbrella getting too close could discharge through to poor person holding it. It would also not be good for an umbrella to contact the third rail - More bright sparks, a loud bang, and someone dead or hurt.
This photo shows a third rail but the angle of view is too low to see if there is a catenary over the tracks.