To begin to understand why Mordechai refused Esther’s offered clothes, R’ Dovid Feinstein reminds us of the manner in which Mordechai learned of Haman’s plot. Since he saw it in a dream, he knew that he was not, indeed, overreacting in his behavior, as Esther’s offer implied. After all, H-Shem does not show people prophetic dreams without purpose.
According to the Malbim, however, Mordechai’s refusal was a gesture representing his refusal to trust in man. Wisdom suggests putting one’s faith in the All-Powerful, loving G-d, rather than in fickle and inconsistent man.