It's exactly what the other commenter said, to transfer heat efficiently you need something else to transfer it to. In a vacuum, you only lose energy by radiation. Therefore on a spaceship you're actually in greater danger of overheating than freezing to death.
Another counterintuitive thing that stems from this is that space vacuum isn't even, strictly speaking, cold. The few and far between particles of space dust and gas can have very high energy flying by, at least until they hit something. It's only cold when you average out over all the empty space.
It boils, but because of the pressure drop, not because of the temperature change