There are many things that might constitute as "romantic". With a feeling that is highly dependent on the people involved that is no surprise. Are there things that we idolize to some extent that are thought to be particularly romantic or is it all about the people involved, the atmosphere of a moment and the feelings between the two people?
Cuddling, hand holding, the first kiss. These are all things that I've seen in movies or read in books that are labeled "romances" that would be considered to be 'romantic'. I'm curious as to how 'romantic' sex actually is but for a lot of romance books (and movies though they don't always show it) it seems to be right up there as a culmination of the romance, if not a direct part of the romance itself. Sex is an intimate, therefore romantic thing. So then perhaps we can also describe romance as intimacy.
We can have an intimate conversation, go on an intimate walk together (albeit hand holding is often popular at that juncture), perform an activity together. Is skydiving intimate though? Or rock climbing? This is where the idea of 'intimacy' or romance is narrowed down to a person to person choice. For a person who loves rock climbing it might be the ideal way to spend time with a loved one. For the person who despises rock climbing the activity would be far from it. So perhaps it is in the atmosphere of the place as well as the combination of what constitutes as "intimate" that makes us tack something as romantic.
Dark lighting in a cozy bedroom, candles flickering around a room, moonlight brushing skin, a soft rain shower with a gazebo... all of these things can be utilized to set the mood and are often seen as "romantic" even if the person seeing them wouldn't really want any of it in real life (which is where the idea of fantasy comes in I expect). But if these things are always considered romantic why aren't they always used? or do we just make fun of them as cliches at this point? Maybe it's not something like the setting, the people or the actions of those people. Maybe it's not the intimacy either.
Romance is hard to capture. In so many ways that is part of its charm. It's unique to the individual, but shared by all. We can easily place ourselves in the seat of the heroine (and yes, this is often a female thing, but I expect men can do something similar if the character was written well enough for them), and we throw ourselves to the wind, knowing that the hero will catch us and bring us safely to the end, whatever that end is. (Most romances are not also tragedies but there are a few notable ones, Anthony and Cleopatra for instance, or Romeo and Juliet. Notice they're not as popular in new books these days. At least not that I've found, please link me a few if they are!)
In the end romance is a part of humanity. We romance ourselves with what we write which is a reflection of what I think we all really want. We want closeness, bonds, a person to understand us and as a result we want to share life and romance with that person. We want it to mean something to both of us, not just ourselves, not just the other. We want to love beyond what we thought we were capable of and do something more than we could ever do alone. Even better, we want someone to share that with. A shame that some people fall so in love with the feeling of romance that they cannot see past it to the rich, fullness that love is. A shame even more when that romance dies in the face of a marriage and a love that goes into a deeper relationship. Romance should live in love and love in romance. We're already partway there, so why can't we go further? Perhaps that's why we love romance so much, it gives us hope that it is still out there, that, perhaps someday, we might even catch some for ourselves.