Chinese Drama Filming?

I'm currently watching The Holy Pearl and it's been a long time since I watched a Chinese Drama - the last one was My Mischievous Princess. And I've noticed something that's been bothering me for a while. Sometimes when characters talk, I can see their breath - you know, white puffs - even when they're inside. My question is this - are they filming the dramas in really cold weather or something? Because in The Holy Pearl (only up to episode 4 so far), they're almost constantly talking like this.