I think it’s supposed to be implied that Mokou thinks she’s wearing white tights or pantyhose or something?
I feel no cold.See.Are you camping out in the middle of the winter?It's my own fur.Oh my...Winter FurYour stupid mistress destroyed my house.What.fluffyOh, I see, you are wearing something warm.How could you expose your legs even in the middle of winter?It's because you're a youkai, right?Geez, Mokou... ...-san.