If you watch the movie his face is hit with the fire more directly than the rest of his body, so that's probably why. And besides, it's a comic book movie so it doesn't actually have to be completely physically accurate.
No, I know, but Nolan's world is done so realistically that you'd think they would have made extra effort to explaiin little thing's like that -- you know, wrap his body in a tarp or something. It's like the "refusing pain killers" thing -- wouldn't it have been better if he was taking so many pain killer's that it was messing with his brain; his psyche, his reality?
I don't really care, I love the character so I'll go with it. The jacket thing just stands out when you can see the whole figure.