I asked mine, but he says he doesn't know

One of a dog's body's way of keeping cool. Dogs can't sweat, except through the pads of their feet, so they pant and have a cold nose to help regulate their temperature. The other reason is that they lick their noses a lot which cools and moistens the nose. They can scent better with a wet nose than a dry one.

There is only one reason here . A dog's nose feels cold because it's moist. Evaporation causes cooling (remember from physics at school?). So wet nose -> cold nose -> cooler dog.

because they have huge warm hearts?

So they can put them on your nice warm feet during the night and give you an almighty fright.