I think in very thin air, high average kinetic energy of air molecules might still be perceived as cold because the number of impacts per unit time would be fewer. Is this a measure that combines density and kinetic energy? This measurement might be "perceived temperature" or something.
Heat flows from high temperature to low temperature objects. So if the average kinetic energy is high and hence the low-pressure air temperature is hotter than something else, there will still be a net heat transfer to the thing regardless of pressure.
We normally experience the heat flow rather than relative temperature as hot or cold (putting your hand into the air of a 200 degree C oven feels very different from touching the hot metal side). So the real question is how thermal conductivity changes with pressure.
Low pressure air has lower thermal conductivity, but this is not very pronounced at normal(ish) pressures. However, below 1000 Pa it starts to change since the mean-free path of the air molecules become longer. Eventually molecules almost completely move heat between objects they hit rather than between the objects and the air.
So the effect is that thin air feels less cold or hot than it would have felt at normal pressure and the same temperature. However, it is worth noting that the pressure effect is not that big: usually when dealing with the upper atmosphere temperature differences to the human body are much bigger than these thermal conductivity effects.