*You* are warmer, therefore the world around you is *colder* than you. And your body doesn’t want to lose that heat, so cold becomes unpleasant and your body does things like shivering to generate more heat, even when there’s no danger of you getting too cold.
Edit: as more people have pointed out, this isn’t entirely accurate. Heat transfer is more important than relative temperature. However, how fast heat transfers depends in part on said relative temperatures.
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