The problem is that there's an awful lot of outdoors to heat... It's like sitting with a birthday candle and hoping it will heat your whole house.
More seriously, what you need to feel warm is a warm layer of air just around your skin. Humans don't have fur or feathers and so aren't very good at keeping that air in place. As soon as there's a draft or a breeze, there's a new cold layer of air next to your skin, and you're feeling cold again. Outside, you've got a constant source of cold air coming in on the breeze, and you're going to feel the cold again.
Is there a reason you need to be outside and warm, or would you be better off inside instead?