Well, that depends on the culture where you live, but at least here in Finland - the sauna capital of the world - it’s perfectly fine. In fact, Finns in general are quite introverted and don’t talk much, but in the sauna you don’t only undress your clothes, you undress titles as well. Everyone is equal there, which makes people more open to starting conversations with strangers. In the past, it was even a place where many political decisions were made.