Space really isn’t cold. Temperature is a measure of how fast particles (atoms, molecules) are moving.

In a perfect vacuum with no particles at all, you literally couldn’t define a temperature, because there’s nothing around to jiggle

In order to understand why space is "cold", you have to understand how we, as humans, perceive temperature. What we feel as hotness or coldness is just how excited the molecules in the atmosphere are. Molecules very excited? It's hot. Molecules very still? Cold.

Space is vast. Incomprehensible to our puny human minds that have evolved to exist on this tiny mote of dust. Most of space is devoid of matter. Sure there's hydrogen and helium out there just floating around, but not enough of it for us to be able to feel. So space feels like cold, and indeed, is quite cold. But as the above poster explained, losing heat in space is fundamentally different than how we lose it on earth.

Your body generates heat to keep your squishy organs running smoothly. The way we prevent ourselves from overheating is we rely on perspiration and evaporation, but that only works if we have Earth-like conditions where airflow can carry that excess heat way from our bodies.

In space, there is no airflow. Your skin would freeze while your blood boils.

The same issue is present with our technology. Radiating heat is very, very inefficient in space because we need something to carry it away from the source that is generating it faster than it can generate it. At least with the tech, we can turn it off to let it cool slowly over time, but it doesn't solve the fundamental problem of having no way to efficiently cool an entire AI datacenter that is meant to be used to fill a continuous demand here on Earth.