It's a common misconception that space is "cold". This is due to the definition of "cold" -> the kinetic energy of particles in certain volume is low. But while on Earth is means you have lots of particles, each with low energy, in space it's very different - you have very few particles, often with very high energy.

In order to cool something down, you need to transfer the energy. On Earth particles with low energy will steal some of the energy of your hot thing, cooling it down. The more particles, the better. In space this effect doesn't exist, there are no particles to steal the energy. You need to radiate the heat as infra-red.