I think it's for a lot of reasons- some kids because they are lazy, some because the just don't think of it, and some I know don't do it because it's a way of asserting their independence (mom told them to so they try to push against it).
I always tell my kids to zip up and try to make sure they know how to be warm, but in the end- some kids have to figure it out for themselves. They will get it as they get older and connect that they can keep warm if they zip up.
I think a big reason I notice is that jackets/coats are cumbersome. They don't fit in cubbies too well, fall off the hooks and absolutely do NOT fit in my boy's lockers at school. And if they wear them and take them off, it is one more thing to remember . . . and who has not given their kids "the" lecture when they lost their coat/jacket at one point or another on the playground or at school or at a friend's house or whatever. And once they get used to dashing in without a coat, they don't think it is a big deal. If they are outside going sledding or something, my guess is they wear their coat. :>))
The bigger mystery to me is why I have to ask my sons in early December to start wearing long pants to school verses shorts. ha ha. But they tell me that the building temperature is hot. So, who am I to really know what makes them comfy.
I figure in this area, they are able to be cold if they want to. And I pick my battles.