Heat transfers through one of three methods – conduction (hot object touches cooler object,) convection (warm fluid flows because it has lower density than cool fluid,) and radiation (warm object emits heat energy in the form of infrared waves.)
Space is cold because there’s no fluid to have convection current. But there is lots of radiation in space – which is why we have to put radiation shielding on satellites and spacecraft. As soon as that radiation hits something, it’ll warm it up… but space is cold because there’s no “something” for the radiation to hit.
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