Hotter air results from the hot concrete. Then the air has more capacity for holding water instead of precipitating it out as clouds or rain. This increases the likelihood of 100%RH conditions, in direct sunlight, on top of a huge thermal mass heated to way above body temps, making heat waves deadlier because evaporative cooling becomes moot at that humidity and you're essentially in desert conditions surrounded by hot rocks.
I had to leave vegas at 4am this summer. The city was 72 or so degrees but as soon as I was out maybe 5-10 minutes of driving, it was 50-60. Unbelievable.
Good link posted by s0rce in another reply, the authors' research seems to indicate the global effect is quite small, which tracks with what we might expect - it's a really big problem localised in cities because so much of the area around us is paved, but on a global scale the surface area of paved urban areas is not huge as a percentage of the surface of the earth.
