When its cold, we can always layer up for it. Not so with heat.
And I've spent time in places that are plenty hot. But usually they have some mitigating factors, like a daily sea breeze flowing through Houston in the afternoons, or extra cloudiness in Asia. In the desert SW, it's very dry and stepping in the shade actually feels refreshing.
The heat wave we had just hit differently. No sea breeze, no cloudiness to give us shade, and humidity off the charts. Just straight up baking. Our mitigating factor is that these heat waves usually only last a few days to a week.