Adipose is a heat insulator. The fatter, the more heat you retain, but fat does not "produce" any heat. Muscle technically generates heat, but I don't know if that's true in a non-active state, but muscle does not insulate heat at all, so if you did warm up and you had no fat, you'd lose that heat very quickly, oppose to if you were fat, you'd heat up and remain warm for a much longer duration.
Edit: I am no evolutionist, but theoretically, in terms of evolutional adaption to environment, it could explain why African Americans "in general" attain such aesthetic physiques. African plains are extremely hot, therefore, the necessity of thin skin for warmth to efficiently escape and very low subcutaneous fat to battle heat retention. I do believe the African continent contains the harshest environment. Now don't jump on me, I'm just sharing a random thought, not making a statement or anything. Please don't anybody feel or get offended if this random thought was somehow offensive.