Still air trapped in tiny pockets is a great insulator -- in fact that's what makes all varieties of insulation effective. Heat transfer via conduction is minimized because of the low density of air (most of the heat is conducted via the solid material that holds the pockets), and heat transfer via convection is minimized because of the small size of the air pockets. Just plain air is not a very good insulator because free-flowing air allows heat transfer via convection (even when the wind is not blowing).

Incidentally, those tiny air pockets don't have to be very large to allow significant convection within themselves. Bubblewrap makes terrible insulation.