Because she doesn't need to.

Elves don't feel the cold as we do. For example, Legolas climbs a mountain in light shoes.

With that he sprang forth nimbly, and then Frodo noticed as if for the first time, though he had long known it, that the Elf had no boots, but wore only light shoes, as he always did, and his feet made little imprint in the snow. ‘Farewell!’ he said to Gandalf. ‘I go to find the Sun!’ Then swift as a runner over firm sand he shot away, and quickly overtaking the toiling men, with a wave of his hand he passed them, and sped into the distance, and vanished round the rocky turn.

 

^{The Lord of the Rings | The Ring Goes South}

I would suspect this is an extension of that.

Because she doesn't need to.

Elves don't feel the cold as we do. For example, Legolas climbs a mountain in light shoes.

With that he sprang forth nimbly, and then Frodo noticed as if for the first time, though he had long known it, that the Elf had no boots, but wore only light shoes, as he always did, and his feet made little imprint in the snow. ‘Farewell!’ he said to Gandalf. ‘I go to find the Sun!’ Then swift as a runner over firm sand he shot away, and quickly overtaking the toiling men, with a wave of his hand he passed them, and sped into the distance, and vanished round the rocky turn.

^{The Lord of the Rings | The Ring Goes South}

I would suspect this is an extension of that.