That’s the thing, there are particles there, just very few. Temperature is measuring how fast the particles move, and they move pretty fast in space. We feel heat based on how much energy the particles transfer to us, but because there’s so few particles, it would feel cold.

This is the same reason why getting rid of heat is so hard in space. The best ways of cooling here on earth involve giving those particles the energy we don’t want, but because there’s so few in space, conventional cooling is nearly impossible.