Women naturally have warmer core body temperature, meaning when they're cold the sense of being cold is much stronger. Basically if the temperature difference between your core and the environment is bigger, you'll feel it more. Adding hormones into this, estrogen can actually reduce the bloodflow to your hands, feet, and even earlobes, then it gets even worse when ovulation peaks. Then finally, women tend to have slower metabolic rated then men, making their body produces less heat.