This question is based on my personal experience. But I believe that this common for many of us.
Let us say that I am sitting on a chair in normal indoor dress. Then, if I lie down on bed, I will feel the need to cover the lower portion of my body.
As I have seen at home, I am working sitting on a chair. Then I lie down in the same dress, and i feel the need to cover my lower part. When traveling in some sleeper train, people ask for blankets when they lie down, not while they are sitting. It is not that they change their dresses when they lie down, they are in the same dress.
Why does this happen? Why do we feel colder, specially in the lower portion, when we lie down?