Another very obnoxious Hollywood trope /2
The point is that you'd be unconscious and then dead from lack of oxygen long before you'd freeze.
But that also depends on your proximity to the Sun and your albedo. You're just as likely to be cooked to death in space as freeze. It's just a matter of how much of the sunlight hitting you is reflected and how much is absorbed. Because, again, there's nothing that conducts the heat away from you. It's all radiative cooling.