Don't most shirts and or coats have pockets?
The Pro pen has a clip. Many styluses, if not the vast majority, don't even come with a CLIP. (Then some people whine about not having an internal slot in the tablet itself without stopping to think for even a moment that doing so would require the chassis to be larger AND make the pen smaller, even easier to lose.)
What I think MS should do is make the clip narrower and longer and easily slid across the keyboard hinge without causing additional stress to the fabric there. And just get rid of the fugly magnet on the pen altogether.