This appears to be a poor translation of the original Japanese description:
(e.g. from http://www.uniqlo.com/jp/store/goods/408603-00, but listed on other items too)
"吸水" means to absorb moisture, and "発熱" means to generate heat but is commonly used in the context of clothing or bedding making you feel warm even though it's actually just retaining/reflecting your own body heat.
A Japanese person would not take this to mean that the clothing actually produces heat on its own, but merely that it will keep them warm.
A better translation to English for "generates" would be "retains". I can also confirm from personal experience that it works very well.