Well, we are talking about two different things. You are talking the perception of cold, and I am talking about being cold, maintaining core body temperature and preventing frostbite. On the latter, the lack of thermoreceptor function is a serious problem, because one will become frostbitten without feeling any pain from it - until later of course. So at sub-freezing temperatures, covering the knees can be crucial. On maintaining body temperature if you are out in the cold doing things, walking, working, etc, it is the parts of the body with muscle tissue such as the calves and thighs, which will have blood flowing through them to maintain their function. If they are not insulated, this blood gets chilled, and is carried by the circulation back to the body core, and chills the whole body.