This line also alludes to another of Eliot's poems, "The Death of Saint Narcissus" which reads

Come under the shadow of this gray rock -
Come in under the shadow of this gray rock,
And I will show you something different from either
Your shadow sprawling over the sand at daybreak, or
Your shadow leaping behind the fire against the red rock:
I will show you his bloody cloth and limbs
And the gray shadow on his lips.

I have also heard this is a Biblical allusion to Isaiah 32:1-2 where the coming of the Messiah will be "as the shadow of a great rock in a weary land."