Is it appropriate to get naked in a gym change room?

So basically I just started at a new gym which is at my university campus, the idea being I can go to gym between classes etc.
Anyway, Yesterday I went for a shower after a workout and the problem with the cubicles is that they are very small so everything in there gets wet.
I really thought it was no big deal, so I decided to just get fully naked in the changing area and then walk maybe 20m to where the showers are, have a shower and then come back to the changing area to dry off and get dressed.

Anyway when I did it I got some really strange looks from the other girls in there.
Did I do something wrong?
I thought it was ok to get naked in a female change room?
Is it appropriate to get naked in a gym change room?
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