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Women are a little different, biologically, in the way they retain heat, compared to men.
Women retain most of their heat around their core, and consequently have lower temperatures in their arms and legs. So she very well may feel that she absolutely does need to wear them.
The cold may not feel as bad, to a guy, but women generally experience it differently, for the reasons I've stated.
If she wants to wear them, you can just let her wear them. It doesn't hurt you, at all, and makes her feel more comfortable in the cold weather.