I'm not an expert, but I'd say it's because your legs are basically half your body. Not only that but most leg exercises require the use of other muscles. Like, if you're squatting with weights you are using pretty much every major muscle group in your body.
I'll add to this that legs and feet make for surprisingly good heat dumps when blood is pumping, so if you're using them to generate the heat, the rest of the body has to do the radiating instead.