Cold toes often itch when you warm them up because of something called chilblains. Chilblains are small, itchy, red bumps in your skin that appear when your body improperly reacts to cold and rewarming. No one is exactly sure what causes them. It seems that rewarming can sometimes allow tiny blood vessels in your toes to suddenly expand before the larger vessels they are attached to can handle it. Fluid then leaks into surrounding tissues, creating little bumps and red, itchy skin. You may feel like your feet are burning. In extreme cases, this can actually cause blistering or lead to ulcers.