Shelter, cover, retreat, refuge, asylum, sanctuary can mean the state or a place in which one is safe or secure from whatever threatens or disturbs.
Shelter usually implies the protection of something that temporarily covers (as a shield or a roof) or that prevents the entrance or approach of something that would harm or annoy.
Cover usually stresses concealment; it is often applied to a place of natural shelter (as a copse, thicket, or dense growth of brush) or, by extension, to something similarly thick or protective.
Retreat stresses usually voluntary retirement from danger or annoyance and escape to a condition or place promising safety or security or peace. It often suggests remoteness, solitude, quiet, or, in religious use, conditions affording opportunities for prayer and meditation.
Refuge also suggests an attempt to escape whatever threatens one’s peace, safety, or happiness, but it usually implies fleeing from an attack or from pursuers, or something (as a thought or emotion) that harasses like a pursuer.
Asylum adds to refuge the implications of exemption from seizure or plundering and the finding of safety (as in the care of a protector or in a place outside the jurisdiction of the law).
Sanctuary stresses the sacredness of the place and its claim to reverence or inviolability; thus, a sanctuary for wildlife is an area which is exempt from intrusion by hunters and trappers and in which predators commonly are controlled so that the forms of life which are their prey may flourish.