"It isn't cold. Why do they wear sweaters?" or "It isn't cold. Why are they wearing sweaters?" Or can we use both with different meaning?
The two versions mean almost the same thing - but not quite. If for some reason you were displeased that even in weather that was not cold 'they' habitually wore sweaters, then you might use the first version in your question, which would actually be a rhetorical question. You are not interested in the answer.
If that problem was troubling you only today then you might use the second version of the question, which might actually be a simple enquiry, possibly answered by "there is a very strong northerly wind".