To shelter itself from cold, wintry winds, Burmy is a Pokémon that covers itself with a cloak made of twigs and leaves. However, it can survive without clothing itself in a special cloak. If its cloak is broken in battle, it quickly remakes the cloak with materials nearby. The Pokémon Company recently released official artwork for the Bagworm Pokémon without wearing any cloaks, which you can check out in the image above.
Source: The Pokémon Company