No underwear was found? Either he wasn’t wearing any, or he wandered off just in his underwear. It may mean nothing, but if he did usually wear underwear, it indicates that he may have been looking for someone to help. It’s a bit weird if someone approached you asking for help if only have underwear on, but, really, really weird if they are completely naked.
If he kept his underwear on, that could be significant in trying to determine his state of mind. It could indicate that he had the mental capacity to know he needed to find help and not to do this completely naked.
Lots of use of the word ‘underwear’, because in the UK, pants are underwear, so as I can’t say pants, I’m left with underwear.