What you are trying to keep relatively dry is the part of the stem at the surface of the soil/compost.
The surface of the soil at this point can be much colder than the air above and the soil below.
A bit like you wearing wet socks, your feet feel colder than they would do if you had no socks on at all.
A plant is designed to cater for rain fall but not for what some of we humans simulate as rainfall.