Why you wear a number of garments in winter rather than one thick garment?

Wearing multiple layers, particularly of different weights and types of fabric, actually stores more heat and keeps you warmer than a single thicker garment. This is because each layer traps a small amount of air between itself and the next layer down; your body heat then warms the air and the air layers become insulating.

For cold air to cool you down, it has to either strip away these insulating layers of air between the layers of clothes or contact your skin directly. Since each layer of clothing has different sizes, shapes and orientations of small holes for the cold air to get through, the more layers you wear the less likely it is that cold air can get through to chill you.