Few guys would be happy to return from the bar to find their girlfriend's evening dress covered by another guy's jacket. Never mind if her teeth were chattering from life-threatening hypothermia. He wants it to be his jacket because it's a protective, sexy, ownership gesture. It says "what's mine is yours," something that's been close to their skin is now close to yours (and vice versa when you give it back). It smelled of him to begin with; it'll smell of you when you return it. Plus, it links you: he has to hang around to get it back.

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