What makes some objects feel colder than others at the same temperature

They have good thermal conductors

Explanation:

they easily transfer heat to colder objects or absorb heat from warmer objects. Your skin can't actually detect the temperature of other objects—it only senses its own temperature. When you touch a piece of metal that is colder than your hand, your fingers rapidly lose heat and feel cold—and the opposite happens when you touch metal that is hotter than your hand. Thermal insulators like plastic and wood don't transfer heat as easily.