What I do when my kids are being unreasonable like that: I give them a sample. Let them go outside for 30 seconds, 1 minute, 2 minutes, or whatever is safe/reasonable. That way, they'll appreciate the indoors as they should. Believe me, staying inside will soon be THEIR idea! hahaha
Even for much older kids, this works for the classic "it's too hot in here" in the summer and "it's too cold in here" in the winter. You have to recalibrate their sensors. Nothing like a sample of 32 degrees to make you appreciate a 67 degree home. And as uncomfortable as a dry 82 degrees (air conditioned home) might be, a humid 99 outdoors feels much worse. But you have to venture outside for a few seconds to get that recalibration/reality check.
That's a good idea. I personally wouldn't use this too much, though, because at some point the kids have to be trained to understand: "My parents have a lot of wisdom and experience; and I'm going to accept what they say as true because, compared to them, I'm just a veritable dummy." I just don't like the cocky attitude among kids of "I know better." So, every once in a while, it's good to provide confirmation (as you suggest) for a "see, I told you so ... I know what I'm talking about" lesson. Apart from a few learning situations, however, I don't like my judgment being questioned by my kids ... not that they'll ever stop until they're about 35-40 and realize "my parents weren't as dumb as I used to think".