I don't see why you have to change a half hour before leaving. You have permission to do what you are doing, but you do not have permission to wear jeans to do your job. I too would question this as it is not fair to other employees who might love to wear jeans to work.
You change before you are ready to leave and walk out the door.
But, I would not question you as a co-worker. Not my business. As to this co-worker, you can ask, "Is there a reason for your questions?", "Do you ahve something work related you wish to discuss?", "If you have any further questions, please take them to boss as I have discusses this situation with him".