Most replies are talking about the low density of the matter in that area, which is one part of the equation. The other part of the equation is radiative heat transfer. Without radiation pulling heat away, the spacecraft would asymptotically heat up to the temperature of the surrounding matter.
Radiative heat transfer, roughly speaking, tries to bring the temperature of the probe to the average temperature of all the matter that it has line of sight to -- somewhere between the temperature of the sun and the temperature of the cosmic background radiation. Since the probes are far away from the sun, this average temperature is very low.
Both effects are present everywhere. On Earth, with our dense atmosphere, conductive transfer is usually the stronger effect. In space, with extremely low density, radiative heat transfer is stronger.
Radiative heat transfer, roughly speaking, tries to bring the temperature of the probe to the average temperature of all the matter that it has line of sight to -- somewhere between the temperature of the sun and the temperature of the cosmic background radiation. Since the probes are far away from the sun, this average temperature is very low.
Both effects are present everywhere. On Earth, with our dense atmosphere, conductive transfer is usually the stronger effect. In space, with extremely low density, radiative heat transfer is stronger.