No bricks and concrete have high thermal mass, but they have fairly high lamda values making them very poor insulators

Bricks: 0.84

Concrete (dense): 1.4

Hardwood timber: ~0.15

Woodfibre board: 0.11

Plasterboard: 0.16

source

Wood and plasterboard is still a poor insulator compared to actual insulation materials (they’re around 0.035-0.038, with exception of PIR), but still much better than both brick and solid concrete.