At the very least, it was traditional.
In practical terms, it could have served a few purposes. Its texture could likely be compared to something along the lines of an Under Armour. If that were true, than perhaps its meant to repel sweat or make a person perform physical feats with more ease. It could also double as a sort of thermal wear, considering the cold climate of the land of Iron.
I don't think it is actual chain mail armor, that would contradict a lot of the accepted logic in the series.