The hollow is the point. Beneath a roof of leaves and crossed twigs, the nest forms a pocket whose best feature is not the material itself but the air it arrests; air conducts heat poorly when it cannot circulate, so the layered shell behaves less like a pile of debris than a deliberately built insulating wall.
Wind is the real thief. When moving air threads through an exposed shelter, convection replaces warmed air at the surface with cooler air, steepening the temperature gradient and pulling heat away; densely arranged leaves and branches make that route tortuous, while the recessed cavity shields its occupant from direct drafts. The geometry matters. A rounded, partly enclosed hollow has less open area facing the flow, so pressure-driven ventilation falls and the warm boundary layer near feathers, fur, eggs, or skin is less readily stripped away. Small gaps remain, but their cumulative resistance slows bulk airflow rather than stopping it completely.
A nest is no furnace. Its protection depends on an animal's metabolic heat, solar gain, or retained warmth, and it weakens when rain compresses the layers or saturates them, because water conducts heat far better than trapped air. Dryness wins. The spaces work at several scales, from fine leaf curls to larger voids among twigs. Yet the design is remarkably exact: many small air pockets raise thermal resistance, and one sheltered void limits convective exchange. In the still center, a scrap heap becomes a room, and the wind must work harder to enter.