We all wear heated clothing. We are our own heat source. Just as with any heat source, it's just a matter of keeping the heat in. A significantly larger problem than being too cold is sweating. It's easy to stay warm - just wear the right clothes. But getting rid of sweat is technically a considerably more difficult task.
While training, a too high body temperature is not good. That's why we sweat. The more over-dressed for the conditions we are, the more our bodies have to work at getting rid of that heat, and thus the less effective our training is, because the more we work at getting rid of heat, the less energy we have left to spend on doing our training.
If you are riding in sub-zero temps, heated boots and/or gloves could be a consideration. Some do, some don't.