When hypothermic, the blood vessels in the arms and legs constrict; by not sending (as much) blood to the extremities, more heat is retained in the core and head/neck area, prolonging survival (at the risk of tissue damage to the extremities).
From Biem, J., Koehncke, N., Classen, D., & Dosman, J. (2003). Out of the cold: management of hypothermia and frostbite. Cmaj, 168(3), 305-311.:
For moderate hypothermia (core temperature 28°C–
32°C), active external rewarming should be applied to the
trunk rather than the extremities because an “afterdrop” in
core temperature may occur when blood supply to the cold
periphery is recirculated to the core
As you warm the extremities, you'll encourage increased blood flow to those extremities. However, you can't completely warm them immediately, which means for the time being there is more blood running through those still-cold areas, which means cold blood returning to the heart.