Your body is using sweat to try and cool you down.
When temperatures are high, your body reacts by increasing the blood flow to the skins surface, which takes the heat from the body to the surface.
This means you are sweating.
The bodys average core temperature is 37 Celsius.
Heat exhaustion begins above 41 Celsius.
Because of this, your body can't sweat, and blood flow to the skin stops, making it feel cold.