This is because of your sense of touch that originates from the bottom layer of skin called the dermis. The dermis tells your nerves information about what you are touching. Your nerves then send a message to your brain through your nervous system telling you the temperature (or if it is painful or has pressure) of the object. Your hands (mainly your fingertips) have more nerve endings than the rest of you, that is why they are more sensitive to touch.
Does this help?