For everyone in the spiritual world, clothing depends on intelligence and therefore on the truths that constitute intelligence. Although people in the hells do seem to be clothed, because they lack truths their clothes are nothing but rags, dirty and foul, each individual in keeping with his or her own insanity. They cannot be clothed in any other way, either. The Lord allows them to wear clothes so that they will not appear naked.
from Heaven and Hell, Section 182
Secrets of Heaven 