Well I do feel it's up to everyone to make their own decision. I guess we're mostly conditioned from birth to find nudity unnatural.
For me it stuck! I feel uncomfortable with the idea of sharing a sauna with many nude people, because I don't really want to share that side of me with anyone, besides my boyfriend. To me, it's something private and special to give away.
There's also the idea, I guess, of being 'slapped in the face with the nudity of others' that I don't like. It is not always a beautiful thing, so I find it nice that we have a choice in this. There's nude beaches and shared saunas for people who don't mind. There's other places for people who do.