Tifa wanted to try something risky and sneak into the men's section of the bathhouse. She couldn't help but imagine all the things they would do to her if they caught her in there completely naked.
Shoutout to the guy that walked behind the pillar in the background. I wouldn't be brave enough to just walk around a bathhouse rocking a semi that obvious. Actually, since he walked behind the pillar, but didn't come out the other side, he might be doing the same thing Tifa is. Still really brazen.