Not recommended — #27 of 31 Denim ranks #27 of 31 fabrics for warmth without weight. It is a poor fabric for this. Ranked on warmth relative to weight, with a packability bonus. The top pick is Cashmere.
Denim measures 45/100 for breathability, 8% moisture regain, 60/100 warmth, at 340 gsm. Warmth-to-weight is the metric: 60/100 warmth at 340 gsm is a fair ratio for packable insulation.