Let it loose so it isn't trapped where it can't survive. Some folks paint their phone # on the horse in case it gets "lost"... Of course if you can... put it in a trailer and haul it out of danger's path.
Horses and cattle here, for wind and short duration (less than 8 hours) rain, we provide access to cover (loafing shed/barn etc) or at least allow them into wooded areas, and if not possible, leave open all interior gates on high ground.
If no shelter is available, they usually just put their butts to the wind and stand there and take it.
There were 5 horses right across the barbed wire fence from me during the worst of Harvey. They survived the wind and rain fine under an open-on-3 sides pole barn.
Flooding is a different story. We did have to lead them out thru 4-7' ft of water after the river got up.
If you are high enough that they won't be swimming, put halters on them. Affix a water proof tag with your name address and phone number, or write it on the halter. Maybe even spray paint your phone number on them. If you have a barn, don't close them up. Open doors, gates, let them choose where they want to be. They will probably want to be in the open.
I lived in hurricane country, mine would go in the barn, but spent most of the storm out in the open. The worst injury any of them ever got was a swollen eye, like flying debris hit her in the head.
Try to get them away from areas that might flood. I’ve heard of several horses recently with severe problems thst they get from standing in water for a long time, and it’s ugly.