I had never heard of it either, but apparently it does happen.
From here:
Patients who become slightly hypothermic have altered judgment (referred to being "cold stupid" by some laypersons), and they can exhibit bizarre behavior such as paradoxical undressing, in which they remove clothing despite the cold. This behavior may exacerbate heat loss, creating a downward cycle to worsening hypothermia.
I don't see any quote at your link that resembles the one you "quoted."
There was nothing at your link with those words.