According to Cool Cosmos, with a few exceptions, insects are all cold blooded. A cold-blooded organism does not generate its own internal (body) heat.
Cold-blooded organisms, such as insects, must rely on heat from the environment. By using the heat from the environment to survive, the food they intake does not get "wasted" generating body heat, and goes straight toward building their mass. However, this reliance also means that sometimes, in cold weather conditions, insects simply die off, unable to generate body heat of their own.
One exception to the rule is the hawk moth, which can raise its own body temperature while flying because its huge wing muscles generate enormous amounts of body heat.