This is not backed by significant medical knowledge at all but I think that when you get cold, blood runs around closer to the surface of your skin to keep your skin warmer. I'm pretty sure that's how it works until you get REALLY cold in which case your blood retreats to your internal organs leaving your apendages to die. That aside, it would make sense that if blood was running around the skin surface, certain parts of the body would react to that and become harder than normal. That, of course, leads to questions such as "Hey, did you leave your headlights on?"