Hmmm we’re not sure but have a few ideas. If your gloves get wet or damp then the water will quickly transfer heat from your fingers to the air which will make them colder. When you separate your fingers by wearing gloves they don’t benefit from the warmth of their neighbouring finger friends, they have to fend for themselves. When you are not wearing gloves you can squeeze your hands into a fist and warm your fingers in the palm of your hand which you can’t do in gloves. Gloves don’t warm hands they are intended to keep them insulated so that the heat your body generates is not lost to the air. Gloves work best if you keep them dry and have a little space in them for some air, a bit big is normally a good thing. Air trapped between your fingers and gloves can act as a good insulator and help to make your fingers stay warmer.