You can find the answer to this in the first chapter of the book. It's on page 4 in the copy I have. The answer is that someone stole Holden's coat.
Whoever stole the coat (it was a camel hair coat) took it right out of his room in the dorm at Pencey. Holden also had a pair of gloves in the pocket of the coat.
When we find out about this, Holden is standing out in the cold being really angry because he has lost his coat. He does not have another one (or other gloves) and he is really cold.