Once you acclimate to it though - it's fine - I used to do a 5 mile run every day from Anson Road/GardensByTheBay/MBS - wasn't an issue.
I worked in Dubai for about 6 months, and there were days there that I honestly thought I might die if I didn't get somewhere cool. And it wasn't the days that were 115 degrees Fahrenheit (46 Celsius) (though those were intense) - but the 100-105 degrees at super high humidity that would knock you on your back. Your entire body would be instantly bathed in sweat and it wouldn't help.
I was fine without Air Conditioning in Singapore - would sometimes turn mine off and just open the windows, but I can imagine anyone doing that in Dubai during the hot season.