Scaling laws, related to why kids may be better off with mittens, and why cold fingers on a child also tells us we won’t be attacked by giant ants.
Now, my daughter is significantly smaller than me, so overall she gets colder more quickly anyway. And, given that “Gloves that work” features on her Christmas list, an equally valid answer to her question could have been “Because you need better gloves, and I’m a bad dad.” But the physics happens too.