My manager used to tell me that when I first moved to New York years ago. I’m like “you do realize I just moved here from Boston?”
Well, it’s the combo of cold winds whistling through the skyscraper canyons. And damp air*.
*In the Canadian prairies, there is the standard phrase “But it’s a dry cold”. And we sort of mock ourselves now when we say it. As if -35 C. is ok because it’s not humid.