Why would you feel cold in the thermosphere?

The thermosphere is an upper layer of the atmosphere where the heavier molecules (notably oxygen) are dense enough to absorb a significant part of the high-intensity radiation from the Sun. But this part of the atmosphere is still so thin than an object placed there would encounter very few of the high-energy (high temperature) molecules. Despite the air molecules present, the thermosphere is essentially a vacuum.

The International Space Station orbits within the thermosphere, at an altitude of 280 to 460 kilometers (175 to 285 miles). The range of the thermosphere is from about 100 to 600 kilometers (60 to 360 miles) above the Earth's surface.