He said: "It's a mental state. Weather doesn't exist."
DiCaprio lived to tell the tale and admitted he was extremely grateful for a hot air blower on set which he nicknamed "the octopus".
Speaking at a Q&A session in New York, he added: "We actually had a machine on set, I nicknamed it the octopus because it was like a giant hot air blower with eight tentacles, and we'd all rush up to it and thaw our hands."
The Hollywood star recently admitted the motion picture is the most "difficult film" he's ever shot.
He said: "This is the most difficult film, I think, that any of us have ever done."
The Revenant sees DiCaprio star as fur trapper Hugh Glass, who sets out on a path of vengeance against his hunting team who left him for dead after a bear mauling.
Other cast members include Tom Hardy, Will Poulter and Domhnall Gleeson.
- Bang! Showbiz