Whilst browsing through the Battlefield Heroes FAQ I came across this gem instead of any useful information:

QUESTION
I took off all my Hero’s clothes. But when I enter the game, I’m fully clothed again. What’s the deal?

ANSWER
Even if you strip off all of your Hero’s clothing, your character will, by default, have the items applied to his empty slots when he enters the game.

If you want to play the game without a shirt, or in your underwear, you will need to purchase the Naked Chest and/or Naked Legs items from the Store and equip them in the appropriate slot.

Yes, they’re going to make you pay to take off your pants, it’s like a kind of strange inverse stripping where you pay to take off your clothes and horrify others with your fleshy extremities.

Welcome to the wonderful world of micro transactions.