Fat gets colder faster than muscle (less vascularly active). Any area where you carry a natural fatty deposit will become cold to the touch in cold weather. If you have more muscle under the fat, then it will be warmer than if you had less muscle under it.
Your base deposits tend to cool more than your excess, too. So overweight people CAN feel warmer than people who are a healthy weight do on THEIR fatty bits.
(PS: My only guess as to why this is is that larger bodies tend to create more heat. So fat is colder than muscle, but enough fat and you're just layering thin layers of warmth instead of creating true muscle heat. Fat is sheets. Muscle is duvet.)
Which is why we snuggle up to our poor, helpless, deliciously warm men, who tend to have lower body fat than us. The fiance calls me a "heat vampire".