If it's too hot, I use a sheet. I think the explanation is pretty simple: crawly things that may come and bite us.
In all seriousness, they protect from anything hunting via heat. Snakes and a great many insects wont notice a warm body covering in an insulating blanket as they would bare flesh.
My metabolism is still producing the same amount of heat energy, and my radiant surface area doesn't increase much. If anything, the efficiency of convective and evaporative cooling drops significantly when I cover myself, so you'd think that the blanket would give off a stronger heat signature.
Thoughts?