Yep, know exactly what you're talking about. It's nerve involvement/damage. I have the same problem. I'll go and check my feet to see if they've perhaps been sweating (gross) and are now cold, but they're bone dry. This has happened so many times that i just quit checking cause they're never wet. LOL
Many times my feet are very cold - but my circulation is fine -- my doc has checked it several times with some testing gear he has. So he says it's nerve involvement and/or nerve damage.
That's what I figured too since i've been dealing with this nonsense for 27 years.
Have your doctor check your circulation in your legs/feet just to make sure. God bless & take care. Hugs, Lee