There are several autonomic factors that can cause more sensitivity to cold. If you have lower BP, this decreases circulation, hence making you feel colder. Also, your temperature regulation itself is an autonomic function and often affected by dysautonomia. Your body temp may run low as a result. My normal body temp now is only around 97.2. Then, of course, there is the livedo that MrsD mentioned and the cryoglobulinemia. All of these factors combined will make you quite sensitive to the cold.

Also, there is the possibility of Raynaud's.