Natural fibers breath, poly's don't. So Poly's will hold the warmth in more effectively but they do this because they do not breath, and you may find that you are too warm and sweat. Sweating is natures way of cooling you off - but if your skin can't breath - it just keeps sweating. In the end you'll throw the quilt off of you and go from hot, to cold, to hot, to cold ... not good.
Soooo ... I personally would choose a natural fiber every time. If one layer isn't warm enough, then add another. Or instead of two layers of cotton, try wool. But I think allowing my skin to breath is important. I hate sweating!!