Alright, so Sheik is Zelda's male alter-ego, an identity adopted to stay hidden from Ganondorf. The disguise makes sense, but why the cross-dressing?
Well, Ganondorf's reign is one of militant, patriarchal subjugation, one where the strongest man determines authority, and where Ganondorf, the ultimate Chad, can fuck whoever he wants. (This is basically textual - just ask the Gerudo.)
So practically speaking, it's likely that Zelda feels safer presenting masculine than feminine while travelling through Ganondorf's kingdom. This kind of action has both historical and fictional precedent. Look at Shakespeare's The Two Gentlemen of Verona or As You Like It for similar examples of stories where women cross-dress to avoid being attacked while adventuring.
But thematically, the Sheik persona is a way for us to see Zelda's vision of masculinity. Sheik is a warrior, but he's also a musician, someone who drops quotes of philosophical contemplation, and someone who helps quietly from the shadows. Where Ganondorf's masculinity is powerful, virile, and self-assured, Sheik's is subversive, elegant, and queer.
In other words, Sheik is the anti-Chad.