Kydex can get brittle enough in really cold weather that it may crack if flexed. It also contracts with cold, and a knife may stick in a close-fitting kydex sheath in very cold weather, making it hard to withdraw. Leather doesn't have these problems, and leather is quieter going through the brush, which makes it a good carry choice for hunting knives.
On the other hand, if you wear leather in the rain it will absorb water and pose a greater rust risk to the blade it carries. It also has to be re-conditioned after it gets wet to retain suppleness, whereas a kydex sheath can simply be drained and left to dry. And you can store a blade in kydex indefinitely with no affect, while the acids in some leather sheaths can invite rust. INFI seems fairly resistant to this, but other carbon steels will readily develop a patina if left in leather.
I prefer leather for hunters but kydex for use around water and in wet weather.