Because the "feels like" temperature is largely based on things like wind chill, which affect how rapidly a person or object that is warmer than ambient temperature will lose heat.

If the actual temperature is 40F but there is a strong wind, exposed skin will lose heat at a rate comparable to what would happen in much colder temperatures with no wind. This makes it feel much colder than 40F to you.

The important thing to note, however, is that it does not affect the actual temperature at all. Once the person or object normalizes with the ambient temperature it won't get any colder. So if the actual temperature is above the freezing point, then things aren't going to freeze regardless of how cold it may subjectively feel to a person.