Humans don't function well in heat. We have lots of mechanisms to warm us up if we're cold (shivering, growing hair, seeking cover, etc) but very few to keep us cold when it's hot (basically just sweating). While extremely cold temperatures eventually cause human cell death, heat does it way faster. Brain death begins at something like 110 degrees Fahrenheit, and at that point death is pretty likely without immediate hospitalization. The highest body temperature survived by a human being is 113 degrees Fahrenheit. Anything greater is always lethal.
However, when you compare that to cold temperatures, the limits of human survival are much greater. The lowest body temperature survived was 55 degrees Fahrenheit, which is much much farther away from normal body temperature than 113 degrees. So in that regard, being uncomfortably cold is more appealing because the human body can support it better.
Another thing to note is that the sensation of being 'really cold' usually won't cause hypothermia. You can be outdoors in 60 degree weather and it's highly unlikely that your body temperature will plummet to 60 degrees. This is probably because your body insulates itself, and your internal cell processes create heat that replenishes heat lost by wind chill. The same isn't true for 110 degree heat, where people can succumb to heat stroke in a matter of hours. In that case, your body works as a conductor for heat and the only mechanism it has to remove heat energy from your body is by secreting sweat that absorbs some energy when it evaporates off of your skin. Not nearly as good as all the things in your body that produce tons of heat when there isn't enough!
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