It's actually hot as hell wearing all that gear and running around. When they're on the sideline theyre sitting on heated seats, with huge coats. Even their hats get warmed up on the hat holders.
My ### it is. Cold is cold. And those pads are made to be as COOL and vented as possible. It's completely a toughness thing, and most players are pretty open about that. The helmet is the hottest thing, and I promise you it's no match for winter weather.
Those "thermal shirts" (by which I assumed the OP meant something like Under Armor) are designed to retain heat, they get extremely uncomfortable even if it's freezing out.
I live in NE and in college we'd go out and regularly play tackle football during snow storms, you start out all layered up but everyone would end up playing just in under armor and sweat pants by the end and still be sweating our asses off, until the sweat dried and the cold set in on the walk back to the dorms, then it would get freezing. But while you're playing, it's extremely hot eventually even with nothing on but the under armor. And we'd play sober, too (usually) so no artificial booze warmth.
Factor in carrying the weight of pads, and having heaters to sit in front of, I can see why a lot of these huge human beings wouldn't want to be dying in thermal gear even when it's freezing out.