This is because the air outside is always cooler than the air inside, so after staying outside your body adapts to the cold air, when you come back inside, the cold air is still in you which makes the room seem warmer.
Here are the planets listed in order of their distance from the Sun: Mercury, Venus, Earth, Mars, Jupiter, Saturn, Uranus, and Neptune. An easy mnemonic for remembering the order is “My Very Educated Mother Just Served Us Noodles
