Since before I started training there's been some puerile idea that wearing layers will 'help burn more fat'. It doesn't. Ditto to training in so-called sauna suits or even actually training in a sauna.
It will, if you need to make weight for boxing or wrestling, help you lose water. So as far as, being pedantic, 'losing weight' it will. But that's not the same as losing fat and getting lean. And, of course, as soon as you have a drink you'll add that water right back on.