We also discovered caves. Caves do a much better job of remaining a constant temperature than buildings. Buildings suck at keeping the cold out in the winter and the hot out in the summer.
Regardless, people didn't live their entire lives inside of buildings or caves. People had to go out and gather plants or hunt. In the days before refrigeration, that meant that even in even in the winter, people had to venture forth into the cold outdoors to get enough food to survive. Clothing wasn't a social convention, it was a necessary survival item. Try going outside in Boston this weekend without clothes and tell me how you're not suffering from hypothermia and it's just a social convention.
Much of Europe gets cold in the winter. Much of Europe can be uncomfortably cool, if you're nude during other part of the year. The same is true of Asia and north America, but those weren't the people who were shocked to discover naked savages when they "discovered" the rest of the world.
Clothing allowed people to live in areas that were too cold for them and it allowed for fair skinned people to venture into warmer places without constantly sunburning.
LK