Generally you are hot when turned on so it must be two different reasons
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The body is limited in how it can express the chemical reactions happening at any given time.
Cold makes nipples contract, thus making the area smaller and easier to keep warm. Nipples tightening during sex are respond to Oxytocin. Same effect, different catalyst.
Another example : sexual arousal and threat of violence have the same endorphin flood, tensing up muscles and making you feel hot as a result. Different causes, similar physical feedback.
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