The air gets trapped between two layers of warm clothes. Air acts as insulator of heat. This layer prevents our body heat to escape in the surroundings. More layers of thin clothes will allow more air to get trapped and as a result, we will not feel cold. So wearing more layers of clothing during winter keeps us warmer than wearing just one thick piece of clothing.
Clothes are bad conductors of heat. As such, they keep the air surrounding the body warm and prevent the loss of body heat. Consequently, we do not feel cold. Placing on more than one thin layer of clothes makes us warmer than wearing a single thick one, since the former method keeps more layers of warm air around our bodies. Some body parts—such as arms, legs, and feet—require more heating than others because they are distant from heat centres in our bodies.