In Germany it's often framed as a hygiene issue, because that's easier to sell to randos. The real issue it that it's uncomfortable to be nude when there are clothed people all around you. And the sauna itself is more comfortable when nude.

It's kina like a prisoners delemma, where the pareto solution is when everyone else is nude, and the nash-equlibrium is when everyone is clothed. Because of this, some people will want to defect (i.e. wear clothes), so we need to apply outside pressure to enforce the pareto-efficient solution (i.e. by asking people to remove their clothes).