You lose/gain heat through conduction and radiation. Eliminating/reducing the atmosphere or making it out of something less conductive or lower specific heat reduces the speed at which the vibrating molecules of your body transfer kinetic energy to or gain energy from the molecules of the surrounding environment.
The vast majority of heating/cooling that people experience in their day to day lives is done through conduction from the earth's atmosphere so in most situations you'd lose heat more slowly on Mars even if it is colder. It's kind of like the difference between being in cold air and cold water.
The vast majority of heating/cooling that people experience in their day to day lives is done through conduction from the earth's atmosphere so in most situations you'd lose heat more slowly on Mars even if it is colder. It's kind of like the difference between being in cold air and cold water.