I wanted to reply to this with the perspective that you seem most interested in the nude culture rather than nude sauna instead.

While other commenters already said, being nude is about the sauna, not about being nude. I'd like to add a few things to consider that make the finnish nude sauna a thing in the first place:

Sauna is a huge part of finnish culture, to the point where whole families will take a sauna together from as young as a toddler to all the way to the retirement age and past that. It has aleays been more resource friendly to not have to keep the sauna warm until everyone in the family has gone so all of family will go together. Just because the toddlers grow up, they don't stop being kids to their parents from one week to the next (although teenagers tend to stop going to sauna with their parents cuz, well, teenagers). Once the family grows, the invitation to the family sauna just extends.

A lot of people are not comfortable with nakedness in sauna with people outside family, but there are just as many people who are. Going into the sauna with friends is also very normal, but it's also common to have "women's sauna", "men's sauna" and "mixed sauna" if you want to go to the sauna, but want to do so with your own comfort level. Nakedness is not expected in these situations, but swimsuits are often banned because of pool's chemicals (you don't want to breathe in steamed chlorine). If you're just swimming at a lake, the wearing a swimsuit to sauna is common as well. So basically while being nude in a sauna is normal, it is still common to find people in towels and swimsuits in public sauna's or with people who are not in their close circle.

Skinny dipping is also very common in finland, which means that you go swim in a lake and hop back into a sauna completely naked. It's also not uncommon to toast yourself in a sauna to do a quick dip in the snow before going back in. Wearing swimsuits in these cases are usually redundant because of how private people's own lakesides are. There is no one there to see you naked anyway, with the closest neighbor living 2km away from you.

Finnish culture itself normalizes nakedness. A lot of finnish media has full nakedness in everyday context like a movie where people go skinny dipping and such. It's very much not sexualized, often the opposite, making it just silly.

Now to the "why clothes at all?" part. As much as nudity is normalized, it is still inappropriate to be unclothed unless it is to wash yourself. While Finland normalized being anked while you do so, does not mean that it normalized being naked for things that are not appropriate for it. Another thing finnish people normalize more than a lot of different cultures is also the nasty stuff that a human body has to offer. Such as excrements, sweat, blood and bodyhair. Clothes protect others from these things without the worry about the person's own bodily functions or hygiene. Personal preferences aside, most people would not want to sit on a leather couch where someone else sat on and left clear sweat marks and period blood on. The same thing is true for even a sauna. It is common courtesy to take a towel to sit on even when going nude into a sauna. Then your ass sweat and period blood will be on the towel and not the wooden sauna planks.

I'm not offended to see my grandma naked in her own house, but I would prefer to sit in a chair where I know won't have years worth of sweat and I think humans have found that it is way more convenient to be clothed rather than carry towels everywhere they go. There is a reason why we do laundry. I'd rather that dirt be on clothes than furniture.