During a thunderstorm, lightning will strike tall objects, if it happens to strike the tree you're seeking shelter under, the electricity from lightning, will encompass you also. Not good.
Why should we not take shelter below trees?
Because during a thunder storm lighting may strike a trees, which would then get on you too - so it is advisable not to take shelter under trees during storms. But you can take shelter under small trees which are covered by the big ones:)