The temperature of space actually is close to absolute zero, so quite cold. As the heat balance of an object there is mainly dominated by radiation, the object looses heat (~T⁴) but almost has no heat input from the surrounding if not directed to a star in sufficient proximity, e.g. the sun. The surface exposed to sunlight however, can become really hot.
Fun fact: the temperature of space is actually thousands of degrees, but you would still freeze to death without protection.
(The actual answer is that atmospheric pressure is just as important as temperature in determining how “cold” something is)
The temperature of space actually is close to absolute zero, so quite cold. As the heat balance of an object there is mainly dominated by radiation, the object looses heat (~T⁴) but almost has no heat input from the surrounding if not directed to a star in sufficient proximity, e.g. the sun. The surface exposed to sunlight however, can become really hot.