To prevent body heat loss, shaking, swaying and an upset in the body’s equilibrium. It only works for women, though.

From here:

Veil is a legitimate right of a woman to protect her modesty as per Qur’anic and Hadith injections. Apart from this, there are a number of health and moral benefits that wearing the veil can provide. Many behavioral science studies that suggest that the veil is the best attire for women.

Protecting the head is very important from a health perspective. Results of medical tests show that 40-60 percent of body heat is lost through the head, so persons wearing head coverings during cold months are protected about fifty-percent more than those who do not.  Wind is said to cause sudden changes within the body and shaking, swaying and other movements that potentially upset the body’s equilibrium; thus, creating bad health.