It is definitely a problem with the circulation in your extremities, but the cause would be impossible to determine from what you wrote. If you have no other issues it could be Raynaud's disease, here's a letter to an health-advice site from someone with exactly the same question, that also thinks of themselves as otherwise "healthy" and exercise a lot:
http://www.guardian.co.uk/lifeandstyle/ ... dwellbeing
So it could be that, or some kind of underlying heart problem, or anemia (there are other kinds than just iron-anemia, if you have good iron-levels), or what charlottez said.
charlottez wrote:
I can think of two possibilities.
1. low blood sugar (hypoglycemia) - make sure you are eating regularly and eating protein.
2. hypothyroidism - low thyroid function can cause feeling cold despite being wrapped up in bundles of clothes.
ETA: Stress can cause or aggravate it too.