Because late at night, it's cooler outside than it is inside. Opening the windows cools down the house.
As others have noted, in the southern reaches of climate zone Cfa it is not uncommon for there to be summer days where the 24-hour low never goes down enough even to reach the A/C setpoint (78° F is the standard recommendation for best balance between comfort and efficiency). Even here in Wichita, which is about 200 miles away from the current Cfa/Dfa/BSk tripoint, there have been days in the past few weeks that our A/C has cycled on at 4 AM.
Furthermore, on days when the outdoors is slightly cooler than the indoors, opening the windows can leave you worse off by bringing humidity inside the house.
Don't know about Texas, but here in Oklahoma, winter is still miserable even without snowfall or gray weather. We have plenty of days of clear-blue skies, temps in the 30s–40s, and 30 MPH north winds. Those are more unpleasant than snowy days to me.
I like winter much better than summer, but I do find myself skipping walks more often in the former, simply because after a certain point, it's just not worth dealing with the wind, even with long johns and a parka with hood.