Moving requires contraction (and, granted, relaxation) of muscles. This requires energy to perform. Some of this energy goes into actually contracting the muscle, but the rest of it causes us to heat up. This causes us to heat up. This is undesirable if you are presently warm.
We abuse this when we are cold by shivering, and this rapid contraction of muscles can generate a solid amount of heat to the shivering area.
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