That's true for anything outdoor in winter that involves physical exertion. Bicycling, running, cross-country skiing, whatever. Cotton and down can kill you. Because they tend to get soaked with sweat, and then lose insulating capacity.
So you want silk, wool or polypro fleece, and Goretex.
This sound counter-intuitive but a lighter non-membrane jacket works better for me, both in terms of comfort and longer-term retention of body heat (better breathability -> less sweat -> smaller cooling effect).
And I didn't own a car, so bicycling was my only option. I did buy Gortex pants and jacket, though. So for riding, I wore silk underwear and sock liners, wool socks, heavy wool pants, high-top lace-up leather combat boots, a wool sweater, a neoprene face mask, and Gortex.
I wore pretty much the same kit for cross-country skiing and snowshoeing. But less for downhill skiing.
I did ski with a guy who almost froze to death, after his cotton and down got soaked.
Maybe in such exteme conditions as -40°C it's different, but for me a windshirt + thick inner layers (polyester/wool) work well for 6+ hour long bicycle rides in about 0°C.
And I should have mentioned that I'd unzip the Gortex when I got warmed up. Or even put it in my pack, and just use a windshirt. But it's nice to have, in case the temperature drops or the wind picks up. Or if there's freezing rain.
It isn't like they - or most of the rest of us - are climbing Everest here.
My experience is in areas with far colder winters. And cross-country skiing for long distances through public land, with only occasional shelter. Before there were cellphones.