Immersive virtual reality (IVR) with head-mounted displays (HMDs) is expanding in various fields like training, but its effects on cognitive load from visual, auditory, and mental stimuli in virtual environments remain uncertain. This is particularly relevant in neurorehabilitation, where patients may suffer from training in overstimulating environments due to cognitive impairments. This study further explores how low and high levels of visual, auditory, and cognitive demands affect the cognitive load. Twenty-two participants used an HMD for a virtual shopping task, which involved selecting listed products and placing them in a cart, under baseline (the task without additional demands) and two stimulus complexity levels (low and high) for visual, auditory, and mental demands. The study assessed cognitive load using conventional (heart rate, variability, skin conductance, performance, self-reported questionnaire) and underexplored measures (head stillness, hand smoothness, gaze behavior), and explored behavior changes due to stimulus impact. Results showed that visual and auditory stimuli had minimal effects on cognitive load, with only specific measures showing any notable differences from the baseline. Mental stimuli significantly impacted cognitive load, with high mental tasks notably affecting the measures and behavior, whereas low mental tasks showed fewer changes. This research concluded that mental stimuli significantly increased the cognitive load in virtual environments, more than visual or auditory stimuli, suggesting future virtual reality designs should prioritize managing mental load. Furthermore, the study highlights the effectiveness of head stillness and gaze behavior as innovative measures for evaluating cognitive load.