Because there is nothing in space to be warmed by the sun. What we perceive as temperature is vibrating molecules that bump into us. When we feel warm in the sun some of that is the photons from the sun whose energy is absorbed by the molecules in our skin which then causes them to vibrate, but mostly what we feel is the vibrations of the molecules in of air which absorb energy from the sun and then bump into us, passing that energy along. Objects in space that are near enough to a star receive energy in the same way, but there are no molecules in space (or at least extremely few) to absorb that energy and then pass it on to something else by bumping into it.
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