Colder on the road – less moving about. Riding off road requires constantly changing body position, maintaining balance, with frequent additional input to get over obstacles. These, combined with the way our hands constantly change the level of grip applied to the bars to aid the process makes off road biking more physically involving and hence more fun.
The only times I really suffer from the cold air is when riding along a road section for any length of time.
EDIT: I forgot to mention that I bought a pair of Sealskin’s Cycle Winter Waterproof gloves recently, they didn’t specify whether they were for road or MTB and they are brilliant for dry warm hands and fingers. I paid significantly more than those on the PSA, so I would heartily recommend investigating them.