One of the things that makes many people uncomfortable about receiving a massage is the thought of "being naked" in a room alone with a stranger. That is a justifiable fear, but with a professional massage, those fears are taken into account. Unless you are receiving a spa treatment that will leave your body soaking wet, you shouldn't need to remove all of your clothing. You are generally asked to "disrobe to your comfort level" - that means if you feel more comfortable leaving on your underwear, bra, or even a tank top, that is fine.
It is easier for the therapist to work directly on skin without having to work over and around clothing, but your comfort is more important than my convenience. If it helps to further alleviate concerns, when you are on the table, you should be covered by a sheet and/or blanket at all times, and only the body part being worked on (such as your arm or back) is uncovered, then recovered once the work on that area is done. Also, in many states or counties, it is illegal to uncover or expose a woman's chest, or anyone's rear end or genital area, so those areas should always be covered and you shouldn't have to worry about that.