I absolutely agree with Tim, you can say that a sweater is cozy. The word "cozy" is often used to describe something that is warm and comfortable, which is a perfect description for a sweater.
Other adjectives that could work are:
Comfy
Soft
Warm
Snug
So, a sweater can be described as cozy, comfy, soft, warm, or snug. Each of these words highlights a slightly different aspect of comfort that a sweater might provide.