Generally, women tend to feel cold more than men and older people often feel colder than their younger counterparts in the same environment. Some people with less body fat also tend to feel cold ,but, some obese people also feel similarly.
The Japanese have a name for this kind of a feeling :
'H-ie-sho'(Hiesho), also called by some a 'sensation of cold' syndrome.The mechanism for this syndrome remains unknown, and there is no medical definition for it.There are reports of some traditional japanese medicines being tried in the management of this condition.
As far as modern medicine is concerned,there have been isolated studies trying to elucidate this and therefore firm conclusions can't be drawn for obvious reasons.
Other than this information, at present,i am unable to offer any other scientific explanation for this experience of yours.
MB BS, MS, FRCS(Edinburgh)