People who are very devout religiously often have a style of dress that goes with their role. You wouldn't ask a monk to take his robes off if he was going through an airport, and nor should you expect a nun to remove her habit. They do still need to be thoroughly investigated, though.
A habit is big enough to hide anything inside it, and so the only option is for someone to get right in there and take a closer look. We hope she was wearing more clothes underneath the habit.