But matter placed in a vacuum does. And that object will radiate or absorb radiation until it comes into thermal equilibrium with its environment. The mechanism for thermal emission or absorption will be radiative transfer; conduction and convection do not work in a vacuum, for obvious reasons. An object placed in shadow on the moon's surface will quickly radiate its heat away to the Universe, a black-body* radiator with a temperature of 3 degrees Kelvin. Parts of that object placed in sunlight would quickly heat up. I suppose an astronaut in the shade might pick up some radiant heat as sunlight reflected off the rocks, or emitted as infrared by his surroundings, but I wouldn't know how to calculate the net effect.

I suspect the human skin would be able to prevent the man's blood from boiling away, providing his moist places (body orifices) were protected from vacuum--at least temporarily, But I wouldn't want to bet my life on it.

*A blackbody (or cavity) radiator is a theoretical surface that radiates (or absorbs) excess heat. Planck's black body equation is used to calculate the amount of radiation emitted or absorbed by a hot body from its environment, both the total amount and how it is distributed at different frequencies. The universe itself (the blackness of space) is a black body radiator emitting at a temperature of 3 degrees Kelvin. That's extremely cold, but it is detectable, its peak is in the microwave region, and represents the flash of the Big Bang, redshifted down to us from the edge of the Universe.

https://en.wikipedia.org/wiki/Black-body_radiation