Water Heaters - Pilot goes in cold rainy day

my hot water heater goes out in the winter in a cold rainy day. This problem was there since I moved in the newly built house in 1996. It appears that the pilot only goes out when the furnace comes on in a rainy day or night. The Wind appears do not contribute to the problem. Most of the time the wind comes together with the rain, so it is hard to separate the wind and rain. Windy day lone not necessary means the pilot would go out on that day. There is no sign of wetness around the pilot lite area. The HW hater shares the chimney with the furnace that has a "power vent". I don't remember the pilot lite ever goes out in the summer. Both the HW hater and furnace are installed in a room inside the garage. There is no room above the HW hater and furnace. The length of the chimney is about 18 feet (from rain cap to top of HW heater). Don't know the maker of the HW heater because it is covered with a insulation blanket (don't feel like to take it off)

There could be numerous issues contributing to the problem.

Since the appliances are in a separate room off your garage, proper ventilation to provide enough air for proper combustion? If you have a room sealed up with no air exchange, the running appliances will essentially deplete the oxygen from the room causing the pilot to go out.

Another issue could be the way the two appliances are vented into the chimney. Being one appliance is power vented and the other is atmospheric vent they may not be compatible to be used together in a common chimney.

If you could provide a make and model off the furnace and water heater, along with the size of the room with the amount of vent louvers, it may help in pin pointing the cause of the problem.