This is clearly intended since sims only change outfits when they interact with objects which were designated for the outfit type: swimwear for pools and hot tubs, sleepwear for bed, naked for shower, space suit for rockets, career for work [event], formal for lounges, party-wear for party events, etc. Sims will only change into a towel autonomously if they're interacting with the sauna objects and you'll see them walking around in towels if they haven't interacted with another object after leaving the sauna. You can change your sim into a towel using the "Color Block Locker" or "The One with Everything Locker", both of which can be found under Storage -> Misc, and they'll continue wearing the towel until they interact with another object which mandates changing of outfits.
There isn't any lot type which mandates wearing of towels.