I have never understood that.
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That's one of the few benefits of being fat.
Actually muscles are what keeps you warm.
The amount of fat required to provide significant insulation is not really feasible for humans with the addition that the feeling of being cold might even be increased.
https://weather.com/health/news/do-fat-people-stay-warmer-cold-weather-thin-people-20140103
NACKCHYUALLY