Also, in the US at least, a jacket is usually something light or medium-thickness worn only over the upper torso. If you're talking something heavier with thick insulation, or full-length like a trench, it's usually called a coat, not a jacket. But those usually have pockets too, so it would still apply.
But sweaters/jumpers are a good example of something you can wear when cold that usually don't have pockets.
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