Void

The void of space is cold, yes. This is fairly common knowledge. The average temperature of a given area of space nears on absolute zero. However, the common perception of things freezing in space is inaccurate; an object in space will lose heat, but only slowly. Why? Space is empty.
Mini-rant time: There are three ways for heat to transfer from one thing to another. Conduction - physical contact, convection - air heating up and then tranferring the heat through it, and radiation - the object emitting electromagnetic waves, often infrared (though not always; the reason something like molten iron glows is because the radiation it emits is partly in the visible spectrum of light.) Everything emits some kind of radiation, we just don't see all of it. That's also what infrared cameras work off of.
The thing is, space is very, very, empty. It's not too easy to comprehend just how empty it is, but here's a comparison. The average molecule density of sea-level Earth atmosphere is somewhere around 2.7*10¹⁹/cm³. That's 27 000 000 000 000 000 000 molecules. By contrast, the best laboratory vaccuums developed boast a density somewhere around 10⁹ particles, or one billion.
The densest parts of space, molecular clouds (where stars are born, similar to nebulae), have a density of between a million and a hundred particles per cubic centimeter. The most diffuse regions, various ionized coronal gas clouds, have a staggeringly low density of 10^-4/cm³, at lowest. In one cubic meter, or a thousand liters' worth, there'd be about one hundred particles. It's jack shit nothing.
Convection and convection rely on particles to work, and with comical lack of those in space, radiation is the only way to transfer heat, and thus cool down. Radiation just happens to be really slow. In fact, the reason most space-anything is so white is to reflect the sun's radiation, as that can really heat stuff up. Many large panels you see in hard-scifi (and real life, the ISS has a couple) are just for radiation. It's one of the best ways to lose heat in space. In the same vein, heating up too much is an actual danger with space travel, while freezing really isn't.
Anyway, that's that over and done with.
This was way too much effort for a simple spooktober prompt.