Heat leaks through the one path you forgot
Thermal bridging, and why insulation is only as good as its weakest route.
Heat always finds the easiest path out of an otherwise well-insulated space, and a single overlooked gap, a thin uninsulated strip, or a stretch of material that conducts far more readily than everything around it can end up carrying a disproportionate share of the total heat loss, no matter how good the rest of the insulation happens to be.
Bare hands under a thick coat
Wearing a thick coat, a hat and a scarf on a freezing day but leaving the hands bare produces cold, aching fingers within minutes, even though the rest of the body stays comfortably warm. The hands are a small part of the body's surface, and yet they end up losing a share of its heat far out of proportion to their size, because they are the one route left with almost no resistance while everywhere else has been given a thick barrier. A pair of gloves can be much thinner than the coat and still make a large difference to overall comfort, since it closes off the one remaining low-resistance path. A house with excellent wall insulation but an uninsulated window frame, or a deep crack around an old door, loses heat for the same reason bare hands do on a cold walk, and the more thorough the rest of the covering, the more the remaining gap matters.
Heat crowds into the easiest route
Heat leaving a warm space takes the routes that offer the least resistance, and it takes far more through them than their size would suggest. A wall insulated across almost its entire area, but crossed by a single solid metal bracket or beam running straight from the warm inside to the cold outside, loses heat through that bracket wildly out of proportion to the little area it occupies. The bracket offers a low-resistance path while the insulation around it offers a high-resistance one, and heat, like water finding the lowest point, concentrates wherever resistance is weakest.
The ratio behind this is large. Steel conducts heat over a thousand times more readily than the mineral wool packed into a wall, so a steel bracket occupying a thousandth of a wall's area, running straight through the insulation, can carry roughly as much heat as all the insulated area around it put together. That result seems wrong until heat is pictured as a current always seeking the path of least resistance.
This effect, called thermal bridging, means a structure can fairly be described as well insulated and still lose a large share of its heat through a few specific weak points, which are easy to overlook because they occupy so little of the area. Improving the insulation everywhere except at the bridges barely helps, since the heat that used to leak across a poorly insulated whole simply concentrates even more heavily into the weak points that remain.
Finding the cold strip before adding thickness
Because heat loss concentrates at weak points, the best place to spend effort is rarely where it first seems. Adding a second layer of insulation to a wall that is already reasonably well covered usually returns far less than finding and closing the one uninsulated bridge running through it, since the bridge was already carrying a disproportionate share of the loss and the insulated area around it had little room left to improve. This is why people hunting for where a building loses heat search for the coldest individual spots on an otherwise warm surface, often with a thermal camera, in preference to asking whether the insulation as a whole is thick enough. A single narrow cold strip running across a warm wall is a far more useful clue than an average reading taken across the whole surface.
Where a solid connection has to cross the insulation, because a balcony must be held up or a window frame must be fixed to the wall, the usual cure is a thermal break: a strip of poorly conducting material inserted part way along the path, so the metal on the warm side never touches the metal on the cold side. Aluminium window frames are built this way, split into an inner and an outer frame joined by a plastic strip, since solid aluminium running straight through would be a bridge around every pane.
The same logic applies to smaller everyday things. A well-insulated cool box with its lid left slightly ajar, or a sleeping bag zipped everywhere except at the neck, loses most of its protection through the one gap that was never sealed, however good the rest of the covering. It is also why doubling the thickness of an already decent layer of loft insulation tends to make only a modest difference to a heating bill, while finding and sealing a few real gaps and bridges, however small each looks, can change the outcome far more, since that second improvement targets the places where the heat was leaving.