Pain is something that evolved as a protection mechanism. Things hurt because they pose a danger to your body. The pain is your body saying “don’t do that” or “this will cause damage, you MUST address it and I’m not asking nicely”. Think about it – infections, impacts, searing heat, chemicals in your eye, everything that hurts is a warning “stop that now and prevent/avoid it in the future to avoid damage”.
Cold is the same. It hurts because getting too cold can hurt or kill you if you don’t fix it. Frostbite can cause the liquid in your cells to freeze and then the cells rupture and turn to mush when they thaw. This can cause permanent nerve damage, loss of the hands/feet/arms/legs, or even sepsis and death from the now-dead tissue infecting your body.
It boils down to: cold hurts because the ancestors that found cold painful took more action to keep warm, leading to better survival and more kids than those that didn’t find cold painful. Fast forward a few million years and here we are, all descended from ancestors who found cold painful and out-lived those that didn’t.
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