Air doesn’t hold much energy in the form of heat. It heats up and cools down very quickly. It also doesn’t conduct heat very well; air makes an excellent insulator, especially if you can keep it still (this is why foam and down make good insulation, they hold air still).
So when you open the oven door, the puff of hot air that comes out is cooling down quickly, and what heat it does have does not travel easily from the air into your skin. The combination of those two things keep you from getting burned due to brief exposure to hot air.
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