OK, the issues for a three year old.
Bullying starts early, and patterns set early are likely to be repeated. I can remember going to pre-school wearing some shoes that were obviously hand-me-downs and obviously boy's shoes, and I was teased hideously for that at the age of 4 - that teasing turned into bullying, and once a bully has a target you are a target for a long time.
He is not old enough to know his own mind yet, and if he is typecast as odd, either by his peers or his teachers, that typecasting can last throughout his entire school life.
Like it or not, it is those who go against convention in this life that attract most negative comments. Which is fine if you are an adult and are aware of what the consequences of your behaviour are. A three year old can't be fully aware of the consequences, but may suffer from them.
Yes, he likes it and it's dressing up - but there's a time and a place for dressing up, and in my opinion dressing up is a separate thing to dressing for school or pre-school.
I have no problem with an adult, old enough to know the possible consequences, wearing whatever they like, whenever they like. My objection comes from the fact he is three years old, and can't possibly know what the consequences of this may be. Perhaps I'm an old fusspot or a worry wort, and perhaps none of his peers will bat an eyelind, but I think that's hightly unlikely. And his teachers will probably mark him down as odd - and I wouldn't want that following my child through his school career.
Just my opinion though.