Your first instinct might be that ice equals cold. But snow and ice are actually fantastic insulators. Think about a thick, cozy winter jacket—it traps your body heat, keeping you warm even when the wind is nasty.
An igloo does the same thing for the air inside. The compacted snow blocks trap the heat you generate, holding it close like a warm hug. It’s the same reason why a snow cave can save your life in a blizzard.