The crew wears these costumes for a simple reason:
When the famed Spanish artist was alive, much of his work was created during Zurich's Dada movement, which was about rejecting the modern capitalist society.
The red uniform has a practical purpose, of course.
The thieves can cover themselves up completely, rendering them unidentifiable to both the hostages and the police.
In season 3, the Professor sits the thieves down and speaks about how their red costume is being used in protests all around the world.
Money Heist makes for an easy Halloween costume. Given the show's popularity, pre-made costumes are sold.