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Jack comments on Open thread, October 2011 - Less Wrong
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What if they built a building or found a cave where wind ran over a bucket or pool of water, cooling the air?
http://en.wikipedia.org/wiki/Evaporative_cooler#Physical_principles
http://en.wikipedia.org/wiki/Windcatcher
"Water produces cold" is a plausible hypothesis for someone using Earth/Air/Water/Fire chemistry.
They did well enough to figure out or intuit or guess that a simpler explanation was better: You're not giving them enough credit, as some went beyond that chemistry.
Heracletus:
Aristotle speaking about Thales:
See also here.
So granted that they could narrow it down to one "element", was it possible for them to do better than to guess as to the nature of thermodynamics? To guess which is the absence of the other?
As my reply to your original comment indicates I give them plenty of credit -- I'm not sure they didn't guess that cold was the absence of heat.
You have the pre-socratics a bit mixed up. Heracletus and Thales are before the five element system of Aristotle. Heracletus only had three elements in his cosmology and fire was the most important. Some ancient cosmologies made one element central...I'm not sure what that has to do with the question?
But certainly it is possible some of them surmised that cold was the absence of fire or something like that.