Sri Krishna stealing the clothes of naked bathing gopis and they coming out naked from the river to take their clothes is a lila of Bhagavan Sri Krishna mentioned in the Srimad Bhagavad Purana. There is deep symbolism attached to this lila of Sri Krishna.
Speaking on the subject Sri Ramakrishna Paramahamsa said – There are eight fetters that bind a person to the world. The gopis were free from all but one: shame. Therefore Krishna freed them from that one, too, by taking away their clothes. On attaining God one gets rid of all fetters. (source - Gospel of Sri Ramakrishna Friday, September 19, 1884).
Gopis were great devotees of Bhagavan Sri Krishna but they were still attached to their bodies. They had not given up the notion of body. They were yet to be convinced that there is no second here. To completely merge in Bhagavan one needs to give up all that is perishable including the body.