Relatively speaking, removing the corpse's clothes would cost significant time and effort.1 This is relevant because people don't waste time and effort unless they have good reason, especially if they are thieves.2
The stench of the putrefying corpse would be exacerbated if the clothes were removed. This is relevant because any body-movers would clearly not prefer this.
If the graveclothes of Jesus were removed, then likely the removal process, rebandaging process (if that was involved), and moving of the corpse would involve touching the corpse's body directly. This is relevant because as much as people today are disinclined to touch a rotting corpse (out of revulsion and/or superstition), ancients were even more disinclined.
Removing the corpse's clothes would be considered egregiously shameful to the corpse. This is relevant because while perhaps some body-movers would be less fazed by it, like all, they would consider it a demotivating factor. In a superstitious honor-shame society, which the residents of Jerusalem were in, actions like this are taken especially seriously.