Some people claim it removes toxins from the body due to excessive sweating.
I don't know if that's the case or not.
I know it can be a good social outlet as people are often friendly and talkative in the sauna. It's a nontoxic social environment, so at least it's less apt to be putting toxins into the body than, say, going to a bar, which is what many folks do for social contact.
Face to face contact, but not in a bar. Less toxic than many people's families, relationships, or the bar setting. Less likely to be around alcohol.
Pre cycle. Taking in less toxics in the first place.
As for getting rid of toxins, I don't know. Does mean more water going through body if one remains hydrated. It's too easy to get dehydrated, though.
Exercise is a good way to remove toxins from the body. Getting one's circulation up means improved blood flow to the many nooks and crannies of the body. That's probably the main thing, in my opinion. Getting the blood flowing through all the nooks and crannies. Nothing like moving, bicycling, walking, dancing for that.
Sauna may not be necessary for this, but it's a fun thing to do.
Just my opinion.