It's obvious!

Dylan: Are your feet cold Bandit?
Bandit( offscreen): No, they're fine.
Dylan: What about your tail?
Bandit: No problem at all.
Dylan: Well, what about your ears? Mine are freezing!
Bandit: They're fine and warm.
Dylan: So how come I'm cold and you're lovely and cosy?
Bandit: Elementary my dear Dylan. I'm still inside!!,