No, I don't think it's just you. I tend to find myself start to get chilly, especially mid way through a first act, everyone sitting still for so long and not generating any additional body heat.
However, this isn't just the case in a theater house. Movie theaters are the same way. I have to bring layers.
I guess it's better to be cold than have everyone, including yourself, be sweaty (and potentially smelly).
It's hard to get right, and they won't get it right, when you have to care for a thousand or so bodies who generate/expend heat differently.