I mean, it doesn’t make much sense from a scientific/chemical standpoint, so hand wave it. As another noted - the logical reasons you’d give would make your world inhospitable to any advanced form of life, and to even more simplistic ones. They’d either be Stone Age, as mentioned, and not have discovered, I suppose, the use of fire, or you can just say they can use natural forms of it (wildfires? Lightning strikes?) but cannot make it. Heat is a byproduct of fire or chemical reactions, and in those cases, you’d need a catalyst (usually combustion, friction, imbalance being corrected in biological cases), so you’re going to have to use some illogical magical explanation. Just stay a God forbade it (even if that’s not true, and people in your story just use it as an excuse, some thinks it’s true, etc) or something.