Cold hands.....Brrr!

Rumor has it that Glenn Gould soaked his hands in warm water.  I used to have cold hands more often, and it would work quite well, but it wasn't because I was actually cold.  That being said,   there are two immediate reasons that come mind as to why one would have cold hands. 

1. The first is obviously cold weather.  Although it may seem counter intuitive, holding your hand over a heater won't do too much in the long run.  The reason is that your body is trying to regulate heat by restricting blood flow to your body's periphery and does so by vasoconstriction, a physiological process to limit arterial blood flow to your hands.  The peripheral limbs have high surface area to volume which helps dissipate heat. The best thing is to have a warm room and for you to be warm. See Sean Shibe recording a piece below. I am sure the heavy sweater and scarf isn't to protect the delicate French polish.
2. The second could be nervousness.  The reaction is somewhat the same, but for different reasons.  Here the sympathetic nervous system (flight-or-fight mechanism) is believed to be shunting oxygen via blood flow to more essential systems in preparation for a perceived threat.  For me, the warm water did warm me up for sure, but it helped relax me.  Interestingly, I developed "cold" hands right before any lessons.  At the time, I didn't particularly like my teacher.