Haha I get the same problem when I am using my pc, my right hand will be cold, left won't. I have put it down to the fact that my right hand is more elevated due to where the mouse is in comparison to my keyboard. If your holding the controller up/higher than your elbows then the blood isn't getting to them aswell, thank gravity for that one, plus as some have said, your concentrating more so you need more oxygen (blood) in your brain and therefore less is getting to your hand.
I recommend racing gloves.. haha