In Thor: Ragnarok, Thor and Loki visit New York City. When they go, Mjolnir is made to appear like an umbrella. Everyone clearly knows that Thor is Thor (even snapping selfies), and it's not like anyone else could use or steal it, so why did he bother making Mjolnir look like an umbrella?
- Thor is a celebrity on Earth. Thor (while having a conversation with Loki) is approached by people asking to take pictures with him.
Thor disguises Mjolnir as an umbrella because he is trying to stay low key and trying not to be identified as he is looking for Odin.
In fact this is one of the reasons Thor chooses to go to Earth after Asgard was destroyed because he believes he is "liked" on Earth.
Anyway the reason he disguises Mjolnir is the same reason a celebrity might wear glasses and a big brown jacket while going to shops in public, they might not want attention from fans.
After Thor the Dark World and Avengers Thor is massively known on Earth as one of "Earth's Mightiest Heroes" and being a member of the Avengers is like being a member of One Direction or (insert name of popular group/band).
- It's a reference to old Thor comics
One of the changes Thor makes is by disguising Mjolnir as an umbrella. This is referencing the early days of the Thor comics where a man named Donald Blake (name dropped originally in the first ‘Thor’ movie) wielded the power of the God of Thunder. He would disguise the hammer as a cane, which he would then tap on the ground to transform into the hero, much in the same way it was done in ‘Ragnarok’.