There may be many reasons for each individual but, at least for me, I think the main reason is that being naked feels good.
When I am naked I can feel liberated and more in touch with my surroundings, with nature perhaps. I remember some years ago walking along a remote Karakorum Himalaya valley, the rock-strewn glacier snaked along the valley, hugging both sides, while enormous mountains soared on either side of me towards the clouds. The people in my group were either way in front or way behind, out of sight. I was completely alone in this vast amphitheatre. At that moment, I felt singularly humble. I was on a foreign continent, attempting to climb a remote 8,000 metre high himalayan mountain, and I was at once completely insignificant and instantly connected to all of it. For me, hiking naked sometimes reminds me of that feeling, of being in some small way related to the vastness that is all around us. I do not mean to say that to experience nature you have to take your clothes off, that would be daft, (though arguably arguable ;-). I am only trying to say here that it can mean that for some people.
At the end of the day though, when all is said and done, when the multiple deep and meaningful reasons have been passed around, argued, examined and evaluated, none of them are really that important. Being naked simply feels good - what more reason do you need ?-)