Cuz it no longer insulates when it gets wet. I've been riding with several layers of cotton and have been fine for an hour or so in temps just below freezing. The trick is as RHM mentioned, not to build up a sweat. For me, three layers of cotton work between 35 and 25, I go to two layers above 35, and sweat is wicked away so I've been staying warm and dry, except for my feet, my toes get cold.