I'm with Avoyt. Without some medium to actually conduct heat, things would remain hot almost indefinitely, and even heating up as it absorbed sunlight. Heat is a huge-mongus problem for space flight, which is why space stations like the ISS has these ginormous radiators, because convection is so incredibly inefficient in space.
"Space" is only cold because nothing generates heat (besides stellar bodies) and most of space is completely empty. But that also means heat doesn't really transfer at all, aside from direct radiation (such as infrared from stars).
Vacuum is cold. Space is not :)