The reason lies in the amount of heat different materials can “transport” per unit of time, something we call thermal conductivity. Wood has low conductivity, which is why metals will feel colder (or hotter) than wooden objects, even when they are just as cold (or hot).

A similar example of this phenomenon is when you stick your hand out of a moving vehicle's window. Your hand will get colder much quicker than if you were standing still. This is because having your hand brushing constantly against new air molecules allows your skin to be constantly exchanging its heat, whereas air molecules that are static will be heated by your skin before they can be removed, reducing further heat exchange.