Why does the cold seem to make no impression on the man in the To Build A Fire?

The cold does not faze the man in "To Build a Fire" because he is a man on a mission. On the surface he understands that it is cold, but he underestimates it. He considers the fact that his cheeks will "frost" as a minor inconvenience, but nothing too dangerous. The man has somewhere to be by a certain time and he is focused solely on that goal rather than the cold around him. This single-minded focus causes him to miss that he is in serious danger, and not even the dog's behavior alerts him to the problems.