Ultimately, though, we think of immodesty in one sense as a moral transgression. The point at hand is that it is a moral transgression to be immodest. That is why, presumably, we would have women cover their upper arms, as the post indicated. I am suggesting that, in fact, the mere lack of clothing, while striking, is not itself either modest or immodest. It simply is. It was shameful. but immodest? If immodesty is a sort of vanity/pride, a sort of failure to regulate oneself as the image of God, then Jesus can not have been accused of this--he maintained perfect meekness/humility (modesty) while on the cross, while stripped.
And so like all things, we are failing because of a lack to define modesty. Maybe David073 could do this for is, so we can dismantle the erroneous idea the length of one's shirtsleeves are relevant to modesty, which is described more as a grace than a thing a ruler could measure. Aye, than a thing a ruler could measure.
EDIT: to press the point home, and at the risk of being sacrilegious, we might have imagined Jesus doing a variety of actions on the cross that were immodest, carrying himself in such a way that was immodest, or internally having a sense of pride or seeking to attract women with his form---obviously this was not the case.