How can you have a relationship without sex?
Though the two are often related, sex is neither necessary nor sufficient for romantic love. We all recognise that people can have sex without being in love. Therefore the thing that makes a relationship romantic isn't sex itself, but when a certain threshold of intimacy has been passed. For some people, sex can be one form of intimacy, but other forms of intimacy exist, including sensual (e.g. cuddling) and emotional intimacy.
For many asexuals, the idea of expressing feelings of love and closeness through sex simply does not occur to them, and the two can seem like completely separate ideas. It's important to remember that while a sexless relationship may not appeal to you, that doesn't mean that asexuals' romantic feelings are any less real, intense, compelling, or important.
Asexuals are the authority on their own experience, and it's hurtful (and misguided) to label their love somehow less legitimate simply because it's missing something that you personally like.