Because the clothes are part of them, so they couldn't/wouldn't think to remove them. * Actually they can remove them, Revolmon made a full strip for the Digidestined just to prove he was not hiding a Dark Ring, Tailmon once partially removed one of her gloves to show a scar he received from Myotismon and Impmon once lost his bandana after being beaten by a bunch of Chrysalimon. To be exactly, some more Digimon once did it on screen too, Impmon jumping on a river while wearing the aforementioned bandana, Jijimon from Xros Wars during a hot spring scene and, if you pay atention in her knee, you will note that Lilithmon kept her clothes during a bath in an opening omake while being spied by IceDevimon and DaiPenmon's giant eye. I think they just don't bother about getting their clothes wet