what made the shepherd think that his majesty may wish to take away his cloaks

The shepherd though that his majesty might wish to take away his new clothes because people can fall out of favour very easily in any political regime, As had happened, the king's ears could be poisoned by jealous courtiers and the former might have given into such rumours. The king had all the power so he could have easily stripped the shepherd off his new position and wealth. So the shepherd had kept away his old blanket if such a day arrived.