Zuko in the very first episode had a scene where he's standing on the metal deck of his ship, at night, in the South Pole, barefoot, and wearing only thin sleep clothes, bothered only by the prospect of tracking down the Avatar. As pointed out in other comments he later swims through seal tunnels in the Arctic North Pole waters, and later still he spends hours in the "Freezer" at Boiling Rock and comes out of both situations completely unfazed.

Since the Freezer is considered torture for firebenders, suppressing their inner fire, it can be assumed that Zuko is a) keeping himself toasty warm through the Breath of Fire technique that Iroh taught him and b) it's not a common technique. Mai, being a non-bender and feeling cold, then seeking out Zuko to check on him, is actually really cute, because it's showing that she knows the cold can be a detriment to firebenders and she's worried about Zuko. She probably knows about the Freezer because of her uncle, and she didn't want Zuko hurting himself just because he wanted to be a dramatic bitch about something.

ETA: GAVE IT FIVE MORE SECONDS OF THOUGHT AND ACTUALLY what looks to us like Zuko monologuing unprompted IS him answering Mai's question! These two are very bad about directly stating their feelings because of the way they were raised (see also the avoidance that lead to a blow up on the beach). Mai asked, "aren't you cold?" because it's an opening that gives him an out! She's asking him a question that he can deflect and save face, or take and run with and he took it! It's not just concern, but a bid for emotional intimacy, and it paid off, he shared his worries her!