Back when I was into the clubbing scene. I'd always go in mini-skirts/mini-dresses and cold was never an issue. I think a big fact of that is that when we would be outside, it'd be mostly spent walking to and from the club, so not enough time to focus on how cold it was. Especially considering that it'd often be with a big group of friends so we'd be busy chatting.
Also, 99% of the time we'd be drinking and intoxicated to varying degrees. Alcohol is a blood vessel dilator, making you somewhat immune to the cold and with the sensation of being quite a bit warmer temporarily.