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The same reason we want to clothe ourselves according to Biblical scholars. Originally, we were clothed with the glory of God, but then mankind fell, and now...Ichabod - the glory has fled and we feel naked. The evil angels also fell and lost their covering of righteousness and now will even try to clothe themselves with sand

But they have no shame....so I don't know if that's why they clothes themselves - maybe to pretend or masquerade around like us to fool people.

that's a good point - their lack of shame - but that's one aspect of wanting a covering,and yes, they are pretenders as Jude says and deceivers