Why should you clothe sheep? See that completely scandalous picture of several nude people ambling down a road without realizing how indecent they are? Why, if those were humans, just imagine the outrage!
On a more serious note, there are different reasons to clothe sheep of the farm or house variety respectively. The very different circumstances an outdoor sheep experiences as compared to what an indoor sheep experiences mean different risks to their wool and differences in the sheep’s perception of itself.
A farm sheep whose wool will be sold will want clothes not so much to conceal nudity as to protect its fluff. Clothing the sheep will keep the sheep’s wool free of hay and debris, which means a higher likelihood of beautiful, mostly clean fleece at shearing time! (And that, in turn, may mean higher prices for your wool!) Needless to say, any naked chickens allowed to consort with your sheep will be a bad influence, but I am sure that your sheep possesses sufficient moral character and strength of will to not succumb to such influences.
On the other hand, a typical house sheep is surrounded by humans. All these humans wear clothes. As some humans may remember, even they were once young and lacked clothing. If you had younger siblings, there is a good chance that you had to chase them down with a diaper or trousers while they shrieked happily or obstinately or both. Sheep might not begin by wanting to wear clothes, but they can get used to clothes and possibly understand that it is the normal way of things to wear clothes.
For one last note, I will observe that my house sheep liked wearing clothes— especially my old clothes— but my farm sheep preferred to frolic without clothes.