Why is space so cold?

That's quite a deep question, If you go back to the big bang, if you look in any direction, you'll see something. If you look in any direction far enough and there's no stars in the way, you'll see a big soup of atoms which were created after the big bang. This light was emitted when electrons were collected by hydrogen atoms. When they did that they released lots of energy and photons, very high energy light. This is well into the gamma rays. Because the universe has expanded so much and these gamma ray photons which are incredibly hot, thousands and thousands of degrees centigrade, have slowly been stretched as the universe has stretched. Their wavelength has got longer and longer. With that they've got colder and colder because longer wavelengths are lower energies. They've got stretched so much that their temperature is about 2 or 3 degrees above absolute zero. It's about -270 degrees centigrade.