Thermal inertia is a measurement of how quickly an object, material, or structure releases heat. This measurement depends on other qualities of an object, like how absorbptive it is of heat, how quickly it conducts that heat, how dense it is, and even how large and what color it is.
Generally speaking, it's preferable for a building to have a high internal thermal inertia, since that means it will tend to retain its indoor temperature, and heating and cooling that space will be more efficient.
Concrete has one of the highest thermal inertias, so buildings built primarily of concrete will tend to hold their internal temperatures better than those made of wood, metal, or a combination of substances.
The study of thermal behavior is an area of active material and construction science. In some research conducted so far, it appears that in most climates and buildings, insulation with high thermal inertia on its interior side is especially effective at maintaining indoor temperatures, reducing the energy required to maintain a comfortable environment.