Virtual reality is a good tool to design and assess urban projects and to study perception in cities. Climate perception significantly influences the perception and use of urban spaces; however, virtual urban environments are scarcely represented with different climatic aspects. In this paper, we study the role that visual cues (sky aspect, shadows, sun location, and light effects) specifically play in climate perception (season, daytime and temperature) in virtual urban environments. We present and discuss the data we collected from a recent virtual reality experiment in which ten variations of the climatic context in the same urban space were assessed. The results prove the feasibility of suggesting complex climatic perceptions and thermal feelings by processing only sky, shadow and lighting effects. Furthermore, our results highlight the role of subjective interpretation, personal background and current real-world environment in interpretation and understanding of visual cues. Finally, we show that perceived climate influences global perception of virtual urban environments.