While watching the series I was wondering if it's really so cold in New Mexico that all the main characters almost all the time wear long sleeves. I checked the climate data for Albuquerque and it seems that there are 8 warm/hot months and 4 colder ones. However, in the series we hardly see anyone wearing short sleeves. Was it intentionally applied by the series creators?
Desert areas are known to be hot in the daytime but cool at night. From November to March it can definitely be chilly enough at mid day to wear a long sleeve or jacket. From May to September you'd probably be too warm to wear long sleeves during the day, but not at night. Albuquerque is also a low pressure point, which means it get some of that Canadian air that comes down through Colorado, plus there's that famous "dry heat" to consider. Without the humidity, 90 degrees doesn't feel like 90 degrees, it feels cooler than that.