Glass is a MUCH better conductor of heat than the air, even a bit better than your fingers.
There are a couple other parts to this, one is how much energy it takes to heat a given mass by one degree(specific heat), and how much mass is in a given volume(density). Glass is closer to metals than air on these aspects.
Basically, how cold something feels to the touch depends on how much of it is getting warmed by your touch, and by how much energy it takes to change its temperature.
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