I’m a Criminologist in Canada so I think I can shed some light here.
First, I watch the First 48 here, I’ve even used it as a presentation for the homicide section in one of my Intro Criminology classes. And I have seen females - both witnesses and suspects - who have pulled their arms into their shirts in the interview rooms.
As to the theories why, both the “cold room” and “deception/hiding” theories are correct. It is common for interrogators to use environmental factors to make suspects uncomfortable in order to provoke behaviours, throw them off their stories, or just spook them into confessing.
At the same time, the behaviour is one of self-protection; the witness or suspect may be showing physically that they are trying to conceal something, protect themselves in some way, or hold themselves out of fear and the attempt at physical security. It’s a fascinating bit of behaviour; I would be interested to see any research on it in terms of types of crimes where witnesses/suspects do it, demographic characteristics… but I’m a bit of a research geek and fascinated by criminal behaviour. If I wasn’t, I wouldn’t be a criminologist.
See? You’re all pretty smart folks!!