The change room and the sauna

My local leisure centre has a sauna in the mens change rooms. I will often go for a session after i have been swimming. Curiously, even though its in the mens change rooms, all the guys will wear somehting in the sauna. I am the only one who ever gets naked. Some guys are happy to walk around on the way to and from the shower, but nobody else seems happy to sit naked talking with others, chilling out naked in the company of other men.