You would have to show that heat transfer between air and rock is higher than that between air and concrete. Without knowledge of what kind of concrete and rock are involved, it's hard to say something definitive. However, looking at http://www.engineeringtoolbox.com/thermal-conductivity-d_429..., it seems "rock, solid" can have a much higher thermal conductivity than "concrete, dense" (and, as I expected, specific heat is comparable, as far as I can tell from http://www.engineeringtoolbox.com/specific-heat-solids-d_154...)

What also may help is higher tunnels. Temperatures near the ceilings of those tunnels will be quite a bit higher than at floor level. Stockholm might just have more high ceilings.