Firstly, it does make you sweat more, which reduces your weight (temporarily). It’s common for people in sports that require a weigh-in to do this and also partially dehydrate themselves before they are weighed to make their weight class.
Secondly, it’s done by people trying to lose weight in general who have heard about the first group and incorrectly believe inducing sweat this way will speed up their weight loss. The exact opposite is true: by intentionally overheating yourself, you actually reduce the effectiveness of your workout, making your fitness goals harder to achieve in the long run. There are tons of myths like this that seem intuitive but hold a lot of people back.
Thirdly, people are just self-conscious sometimes and cover up their body