My old answer to a similar question, lightly edited:

We have no record of anyone doing it - and several factors would have made it extremely difficult and dangerous for any streaker, however loose of toga and fleet of foot, to try.

Seating in the Colosseum was strictly class-segregated, with senators in the first few rows (the so-called podium), equestrians above them, and the hoi polloi above them. The podium was separated from the other sections by a substantial wall, so unless our would-be streaker was of senatorial rank (the scandal!), he would have a hard time approaching the arena from the seats. And even if he managed to reach the front rows without attracting attention, he would then have to scale the imposing barrier - a brass fence fitted with ivory rollers and crowned with upturned elephant tusks and nets - that kept toothy predators from getting up close and personal with the Roman aristocracy. The barrier was probably at least four or five feet tall; and the arena was twelve feet below its base. Worse, it was patrolled by sharpshooters trained to puncture the ambitions of any big cat or gladiator who got too close.

So entering the arena of the Colosseum from the seats would have been a bad idea. What about the network of tunnels beneath? If our intrepid streaker managed to bribe enough workers, he might conceivably finagle a ride in one of the elevators that brought animals, gladiators, and scenery up to the arena. Since the subsequent consequences for those workers would be quite unpleasant, however, this probably wouldn't work - and if a streaker tried to sneak in, he would have to contend with the beast-handlers in the tunnels, and share an elevator cage with an extremely ornery animal or gladiator.

That leaves entering at arena level through one of the four main entrances. These, however, had heavy gates and were closely guarded.

Finally, if a streaker somehow managed to reach the arena, it wouldn't end well. Outside the baths and certain artistic contexts, the Romans generally viewed nudity as shameful. The emperor or magnate presiding over the games, moreover, was not likely to view such a disruption of his carefully-planned program kindly - Domitian, for example, once had a spectator who heckled him during the games fed to wild dogs for his impudence. Any streaker who managed to reach the arena of the Colosseum, in short, probably wouldn't leave it alive.

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I discuss seating arrangements in the Colosseum here, and the tunnels beneath the arena here.