It's called the Thermic Effect of Food (TEF), which is the increment in energy expenditure above resting metabolic rate due to the cost of processing food for storage and use. Protein, compared to other nutrients, requires more energy to process and has a higher thermic effect as compared to other nutrients. This is why you feel 'heaty' after protein shakes. So althought the word 'heaty' sounds like one of those 'old people myths', it is actually anchored by science.