Sleeping fully clothed more compartmentalizes your body heat. It is more difficult to keep your extremities warm (lower legs and feet) when your upper body heat is trapped in several layers of clothing. I believe that you are warmer in general in a sleeping bag if you sleep with minimal clothes on. Of course that assumes that the sleeping bag is reasonably rated for the temperature that you are camping at.

If you do sleep fully clothed, make sure to change into clean dry clothes. Even if you were relatively inactive during the day, your body breathes moisture, and as your body cools due to laying down to sleep, the moisture makes you colder and colder. For the same reason it is good to have dry clothes to change into when getting up. The clothes you had on in your bag will be moist from presperation & breath during the night. When the cold outside air gets to them, you will feel really cold right after you get up. It is good to have sleeping clothes when camping such that they can air out during the day so they are dry during the night.