The full expression is "mad dogs and Englishmen go out in the midday sun."
This is from the days of the British Empire, especially the Raj in India. The native inhabitants, used to the heat, would sensibly go indoors in the heat of the mid-day sun. But the British didn't like to change their routines for such trifling things as 100 degree heat, so continued to parade around in the hottest part of the day, often dressed up in full suits. Hence the expression, comparing the idiocy of the British with rabid dogs, memorably made into a song by Noel Coward.
http://www.traditionalmusic.co.uk/folk-song-lyrics/Mad_Dogs_and_Englishmen.htm