Because of your heart.
If you were a corpse, your feet hanging out wouldn’t do much. But because you have a functioning heart, you pump a coolant called water (well blood) between your body core and out to your extremities.
It’s the same way a radiator works. A car engine makes heat, it pumps a fluid by it to absorb heat, the hot liquid goes to a radiator and dumps the heat, then goes back to pickup more heat.
Now, your body can try to preserve heat by tightening the blood vessels and cutting off your radiators called feet. Sometimes when you are in a cold environment it cuts off the blood flow, so your feet get cold. However, if you drink alcohol it opens your blood vessels back up and the feet get warm. You’ll feel warm even in the cold if drinking, but you’re dumping out heat like crazy and actually more prone to hypothermia.
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