Ok, ok, just kidding -- Finns can talk plenty! But seriously, in Finnish culture sitting silently together is a legitimate form of socializing, unlike some other cultures. Conversation need not be constant.
An interesting documentary to watch is Miesten Vuoro (released as Steam of Life in English, but literally translating to 'men's turn'). It explores sauna culture on one level, men's emotional lives on another level.
And as ptaipale says below, "In sauna one should be like one is in church" -- my terrible translation of a phrase about a certain traditional attitude toward sauna behavior.