> space is not cold.

Yes, it is. There is such a phenomenon as infrared radiation. You feel it on your skin right now. It is hard normally to separate them from other ways you exchange heat with your environment, but in some conditions it is easy. Like when there is a hot object you can feel it to be hot even if you don't touch it or the air heated by the object. Likewise you can feel that a cold object is cold thing without touching it or cold air around it.

These experiments would be hard to run in space, because it is highly polluted by vacuum and it is not a good idea to expose human limbs to vacuum. But artificial sensors could be used for that.