It drives me bloody crazy. Honestly i think some people in other countries think places like Germany, France and the Netherlands are a hotbed of naked people and wearing clothes is the exception.
Germany is pretty open about nudity, but most Germans i know would be shocked (not to say offended) if people thought it was sexual. It is the furthest thing from sexual and they will soon let you know if you're being inappropriate.
I was at a women's spa a few years ago and, knowing I'm (also) British the women there patiently and carefully explained that it is a "textile free" (ie. naked) sauna and not to wear swimmies because it gives the impression you have a hang up and thing nudity is bad, and that kind of insults the others. (side note: my American friend left a spa when she realised there would be naked women around her, not even any men, because she was brought up very prudishly. Nobody had a dig, and were very sorry to see her go because she was uncomfortable)
There are mixed saunas. They are self-policed and (i have heard from friends, i don't go to them) people will be thrown out for staring or inappropriate comments/behavour.
It will be interesting to see how the new rule about women being allowed to go topless at open-air pools, etc, kicks in.