In winter morning as soon as we wake up, the air inside the room is cold but if we go out and return to the same room, we feel warm, why?

When we wake up we feel air inside our room cold but if we go out and return to the same room, we feel warm, why?

Temperature inside blanket is higher than indoor ambient temperature so when we wake up and came out of blanket then our body came in contact with lower temperature and we feel cold.
But outdoor ambient temperature is lower than indoor temperature, so when we went out and returned back to the same room we actually moved to higher temperature zone. That is why we feel warm.