The tall man doesn't seem to be bothered by the snow. He just reaches into his pocket to clutch his amulet, and heads out into the dim streets. This place looks like Shinjuku in some ways, but it's pretty clearly not. The demons he's seeing are pretty strong evidence of that - they're not translucent in the human world at all.

He nods to them, and stops to help a Pixie that's gotten one of her boots stuck to a piece of gum someone left behind. Perhaps you come across him helping another demon - or perhaps you're simply curious as to why this man is staring at you.