Temperature is basically how fast molecules vibrate.
If you are in cold air your molecules vibrate more that the air, when they collide the chance that energy is transferred away from you is much higher than the other way around. (It always tries to balance out)
You heat up the air around you, and your molecules have to spend energy for that. The warm air moves away making room for new cold air.
Since your body can only work at a specific temperature it will fight back by raising hairs (that are supposed to trap warm air near you) and shivering wich makes your muscles produce heat.
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