Humans predominately sense change in temperature. If you live in a cold climate you may notice, getting in the car in the morning, that the steering wheel is very cold. The steering wheel is (generally) the same temperature as the air, so why does the steering wheel feel colder than the air?
Because heat conduction is much faster than heat convection, and humans sense the rate at which heat is leaving (or entering) their bodies. So the steering wheel is sapping you down to 0 degrees centigrade much faster than the air is lulling you towards 0 degrees centigrade so you say it feels "colder" (but it's really just making you cold faster).
Note also, that there are separate receptors for cold detection than for heat detection. Here is the scholarpedia (the peer reviewed wiki) on it with specific numbers for temperatures, adaption rates, thermal thresholds, thermoreceptor density on the skin, and conduction velocities:
It's also well referenced if you want to go to the original experiments.