Keep in mind, your pets are always naked. It doesn't seem to bother them that much. If you have cats though and you're in the mood to be relaxing naked around the house, do NOT let them sit in your lap. This is always a recipe for disaster. Think of cat claws, inches away from the most sensitive and thinnest skin on your entire body.
The only time it was ever really weird was when one of my cats (now dearly departed) began meowing at me, while I was engaging in some "self love" as it might be called. I don't think an animal has ever conceived of what this act actually is, but I think this particular cat knew and was berating me for it.