Because of thermal conductivity. Things that have higher temperature than human skin feel warm. Things that have lower temperature than skin feel cold. How warm or cold they feel depends on their temperature and also thermal conductivity. For example metals have higher thermal conductivity than plastics. So if you touch a metal rod it feels warmer than plastic rod of the same temperature(if they are warmer than skin) and also metal rod feels colder than plastic rod if they are the same temperature(but colder than skin).
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