Why Birds Don't Get Cold Feet

The arteries going down to birds' feet and the veins going back up are very close together, almost hugging each other, so close that most of the warmth going down to the feet is transferred to the cold blood going back up.

By the time the blood reaches the sole of a bird’s foot, it has already transferred most of its heat to the blood going up and so not much heat is lost to the snow. Instead, most of the heat is preserved internally.

-- Source: The Cornell Lab