The man, 20, who works for a government department, was arrested along with four of his friends who were dressed in clothes, usually worn around the house, Gulf News reported.
The men were detained on an escalator in the early hours of Saturday, the third day of the Eid al-Adha holiday period. The five are facing charges of indecent behaviour in public.
"The mall is used by families, women and children and such improper behaviour is unacceptable," a police spokesman said. "Those men should have respect for the public and police will not accept their excuse that they did this for fun."