Even if they were the same temperature to start with, there’s very little hot matter in a candle flame compared to the hot pan. The total amount of energy in a candle flame at any given time is quite low, and the water on your fingers is sufficient to absorb the heat by the time the flame goes out. In contrast, a pan hot out of the oven holds significantly more heat, enough to heat the water in the mitt to sufficient temperature to burn you.
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