Headcannon: When they were younger, Scotland once joked that he was leaving England. As a result, England clung onto his cloak for THE WHOLE DAY. For the next few days (When the joke was over), England still believed that Scot was going to leave and kept clinging onto his cloak. That's why Scotland removed his cloak.
England still clings onto him though.
((Holy crap that comic though! IT'S TOO CUTE! XD ))