First, the house may be in poor condition and some damaged areas may be leaking air. First uncover and repair parts of the building, then attach a layer of insulation boards to provide warmth and wind resistance.
It is also possible that you suffer from some kind of rheumatism. People suffering from rheumatism are particularly afraid of the cold. Their joints are always cold and they always feel like it's windy even though the windows are closed. in summer the room is cold. It's windy, so I suggest you go to the hospital for a physical exam to see if it's a physical cause.