As we go up a mountain e.g.. Himalayas, the climate turns cooler as the altitude increases. But in fact we are going closer to the sun and that should make the environment hotter. Why is it so?

Hmmm
Lets tackle this step by step.

You know that earth has gravity. This gravity also attracts air (atmosphere). So the air is denser close to the surface of earth and the density reduces as we move away from the surface.
When the sun's rays hit the surface, the surface gets hot. This heat is taken by the nearby air molecules and we feel that the temperature is more near the surface of earth.

As we go high, the density of the air reduces and so the heat.

Let me know if you are satisfied with my answer.