Intelectual laws does not permit this act. But many are doing it. Its one of the easiest thing to do as clothing business is hardly regulated. And nobody is giving a big fuss our of it. Only branded clothing manufacturers are protecting thier brands, but still anyone can counterfiet it.
I would think this is illegal. At the same time, there are plenty of other major crimes that need attention. I highly doubt you will be arrested for doing this. The most I could see you getting is a fine, if that.
It's typically not allowed for you to do something like that IF it's already for sale somewhere else OR if you are going to use it to profit. I would think if you did that and it was merely for your own personal use it wouldn't be a big problem.
I bet that if you just made something like that for personal use, for yourself only then it would be okay. But if you are making these fake jerseys and then try to make a profit off of them, then there's a problem with it.