A whole bunch of reasons.
* They’re wearing clothes to protect them from much of the cold by keeping their body’s heat in and the wind out.
* The stadium itself protects them from most of the wind.
* They’re also packed with a bunch of other fans, which preserves body heat – some of the body heat that would have dissipated is instead warming fans around you (and you’re absorbing some of theirs.)
Picture heat as trying to escape your body. Wind makes it easier for it to escape because the air heated around you is constantly being blown away by the wind and replaced by new, colder air. Blocking the wind prevents that. Wearing heavy layers also makes it harder for the heat to escape. And, finally, having a bunch of fans packed around you effectively makes it harder for it to escape.
If they stayed out there *forever* this wouldn’t be enough and they would eventually freeze, but they’re not going to do that, and all the points above mean that they’re easily going to retain enough heat for the length of the game.
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