It signifies Lord's askalitha brahmacharitva (means perfect/eternal celibate).
Lord wears it to signify that his a ajanma brahmachari/nitya brahmachari. It is proven when Lord revives the foetus of the womb of uttara.(who is none other than maharaja parikshit son of abhimanyu).
Peacock is the only species which doesn't reproduce through the samyoga of male and female reproductory organs, the peahen collects tears of peacock(which contain reproduction cells) and lay eggs.
If we dwell deep in to it, we can understand the eternal relationship of Lord with Gopis and his 16108 wives.