From a security perspective, it is much like wearing other types of baggy clothing in which explosives and guns can be concealed. It's one of those things where we have to accept as tolerable or face probable back lash from the "faithful." Whether we face a mob or pissed off insulted jack-asses or a single jack-ass with a bomb, we face security issues either way.
But this is everyday life in the civilian world. In the military world, such garb is intolerable and would be subjected to search. No matter the offense, life and death transcends politically correct cozyness. The military has the advantage of not having to cater to hurt feelings. Of course, our military culture translates our boldness into a clear understanding from the wearer. Civilian authorities receive no such respect and have to deal with individuals and their celebrations.