Broken Souls - S6-E2
Character mistake: At the very end of the episode, a chess board is set up wrong, the initial position must have the white queen on the white square (d1) and the black queen on the black (in this case red) square (d8). They set up all the other pieces correctly except the kings and queens should be reversed.
Answer: He doesn't actually wear it all the time even in summer. In some episodes in the summer he simply wears his suit with jacket.