It depends on the density of matter in the particular part of space you are in. There IS matter in space, just not a lot of it. But there are all sorts of atoms floating around out there. If there was no matter at all between the sun and the earth, if that space was completely devoid of matter. (and if we could take away the photons that exit the sun) then there would be no heat transfer between the sun and the earth. When you "heat" or "cool" something what you are doing is taking that heat and transferring it to another form of matter.

Here is an easy way to think about it. Get naked and walk outside on a 35F degree day. And think about hot much time it would take for you to actually die. Realistically you can make it some time before you actually die. An hour plus I think would be easy.

Next, do the same thing and submerge yourself in 35F degree water. And think about how much time it would take for you to die.

It would take considerably less time for you to die in cold water because water is denser than air, and it does a much better job of absorbing the heat that leaves your body.

Out in space, there isn't water floating around out there. And there isn't "air" floating around out there either. But there are nitrogen atoms, oxygen atoms, hydrogen and helium and every other sort of atom all moving around out there. And those atoms would absorb your body heat.

Another way to think about it is imagine if you were floating naked out in space smack dab in the middle of a nebula, completely saturated with hydrogen atoms. And then imagine you were floating there naked in the middle of that supervoid the announced a few weeks ago. There is more matter in the nebula so your body heat would transfer to that matter, lowering your own internal body temperature. But in the supervoid, the only matter in the void is you. You are the matter, and you are the heat source. If there is no other matter for your body heat to transfer to, then the heat stays in your body.