Birds have adapted over millions of years to deal with the killer weather we've had this winter.
Feeder birds don't need warm hats and mittens. They need food. Chickadees and other small birds need to eat and eat and eat.
Small animals need more energy to stay warm because they lose more heat than do large animals. Being small in cold weather is no advantage.
It is a matter of ratio, the amount of surface opposed to volume.
The Cornell Lab of Ornithology explains it this way. Consider a chickadee as a one-inch cube. Surface area is six square inches. Volume is one cubic inch.
Now, a turkey, which we will call a two-inch cube. This has a surface area of 24 square inches, a volume of eight cubic inches.
The chickadee has a surface to volume ratio of 6:1. The turkey's ratio is 24:8 or 3:1.
The chickadee, with more surface from which heat can escape in relation to its volume, will lose more heat than the larger bird. The chickadee must frequently refuel the furnace.