In the last few years, a large number of smart meters have been deployed in buildings to continuously monitor fine-grained energy consumption. Meteorological data deeply impact energy consumption, and an in-depth analysis of collected and correlated data can uncover interesting and actionable insights to improve the overall energy balance of our communities and to enhance people's awareness of energy wasting. To effectively extract meaningful and interpretable insights from large collections of energy measurements and multi-dimensional meteorological data, innovative data science methodologies should be devised. Research frontiers are addressing self-learning approaches, which allow non-experts to exploit machine learning techniques more easily, and algorithmic transparency of models, hence providing actionable, explicit, declarative knowledge representation. This paper presents METeorological Data Analysis for Thermal Energy CHaracterization (METATECH), a data mining engine based on both exploratory and unsupervised data analytics algorithms, devised to build transparent models correlating weather conditions and energy consumption in buildings. METATECH exploits a joint approach coupling cluster analysis and generalized association rules to allow a deeper yet human-readable understanding of how meteorological data impact heating consumption. First, a partitional clustering algorithm is applied to weather conditions. Then, resulting clusters are characterized by means of generalized association rules, which provide a self-learning explainable model of the most interesting correlations between energy consumption and weather conditions at different granularity levels. The experimental evaluation performed on real datasets demonstrates the effectiveness of the proposed approach in automatically extracting interesting knowledge from data, and provide it transparently to domain experts.