First time I have heard that. Got any references, I would like to read more?

tu7001's comment shouldn't be down voted, it is correct. The human body has to expend energy to heat or cool itself when the ambient environment is outside a certain narrow range. Sweating burns some calories, even if you're just sitting around. When we spend our time inside climate controlled rooms then we burn fewer calories. The effect is small, but measurable.

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3975627/

Anecdote time here, but spending some time in a steam room and then entering a cold bath, and doing this 3 times or so, feels like a great cardio workout without the muscle soreness. There's definitely a lot of energy expended, particularly by the circulatory system, in keeping one's core temperature more or less stable.