You lose most of your body heat through your head because there are so many blood vessels in your scalp. Or because there's not a lot of fat between your scalp and your skull. Or because there's a lot of circulation keeping your brain warm. Or something. At least, that's what we've all heard. That's why you need to wear a hat in the winter: Otherwise you'll catch cold.
But, the sad truth is, you lose just as much heat per square inch through your head as you do through the rest of the body, a fact that would become abundantly clear if you ever tried to scrape the frost off your windshield while naked. (I don't recommend trying that experiment.)
So if you're out on a wintry day and you notice that your head seems to be particularly cold compared to the rest of your body, it's probably because your head is bare, and everything else is sensibly bundled up. Putting on a hat will fix that problem.
It's less likely to keep you from catching a cold, though.