she may well have sensory issues.
my dd2 was similar.
I remember a bitterly cold day when she was about 3, where she would not wear a coat or gloves. she did concede a hat 
she was a tiny little mite anyway, and was virtually turnng blue. thankfully as she was so small, I could carry her easily enough, so tucked her (mostly) inside my coat, stuffed her hands down the neck of my jumper () etc. she was still freezing.
she is 6 now, and still hates wearing a coat. she is being assessed for AS, btw, before anyone jumps in with 'you're the parnt, just make her wear a coat'. she has quite extreme sensory issues with clothes on a daily basis, and doesn't seem to feel temperatures and temperature differences.
she didn't learn from that day, btw, and we endured many similar. she will now put a coat on when I tell her to, but still has many issues with zipping it up/sleeves being wrong/hating having the hood up etc.