My understanding, as a cat owner, is that cat do not feel the sensation of cold or hot on their paws or hair.  However, that doesn't mean they won't get the reaction of frost-bite or burning to their bodies if in extreme cold or heat.  I recently read about this in a cat book and since this is the first time I have old-fashioned radiators in my home that my cats now seem to climb on even when they are boiling hot, I see what I read is true.  I keep my cats inside for many reasons, one being your concern, so be careful if you let them out.