No one really knows, since the information kind of contradicts itself. Worf is quoted as saying no one had seen a Breen and lived to tell about it, and yet Kira had stolen a Breen suit not once but twice. In order for that saying to be true, there has to be something up. For instance, if the Breen really prefer the cold, perhaps they like it so cold that they'd be flash-fried the second they were exposed to normal air. However, while the original theory of the Breen homeworld being a frozen planet has been generally accepted as fact, there is one obscure quote that I see a lot of the websites neglecting to mention. In one of the final DS9 episodes, Weyoun made a throwaway remark that he heard from one of the Breen that their world is really temperate, not frozen. So, if the suits aren't used for refrigeration, then what? Are they like the "encounter suits" that the Vorlons from Babylon 5 wore and if you tear one open, whoever's inside get vaporized by some charge in order to prevent anyone from seeing them?