That's a misconception. They are poor insulators, but they moderate temperature well. If the temperature outside is cold but sunny, the walls absorb heat from the sun during the day and retain it during the night. However, when you require heat input (cloudy days, average temperature less than desired interior temperature), the stone conducts it very well to the outside and you need much more power input than even crappy US stick-built houses with R-15 insulation. It's just that Southern Europe's climate is usually so mild it doesn't seem like it's more comfortable, but this situation demonstrates its inferiority well.