The show breeders i know don;t dress their yorkies because they don;t wanna risk damaging the coat. I think, like it was said, it can cause mats and since the show dogs have extra long coat it would be a big problem for them...plus they always have them wrapped to even prevent it from getting damaged by touching the floor..so they don;t really wanna risk with clothing.
Now, if it is just a pet, i don;t see a problem, just make sure to brush the coat before and after