I've done it plenty of times, in the most traditional of settings in Japan - without any problems.

In Japan, it is quite common for a group of guys/girls to share a room in a ryokan: you'll each get a futon on the tatami and a blanket/duvet, and nobody will be none-the-wiser if you move the futons together to be close to your partner at night.

Nothing to worry about in that regard - of course, regular discrete behavior when outside of the confines of your room is always advised.