"In most birds, plumage is able to resist the flow of heat, such that surface temperature is normally a few degrees above ambient temperature," wrote Dominic McCafferty of the University of Glasgow and his colleagues in the journal Biology Letters.
For emperor penguins, however, during clear sky conditions, most outer surfaces of the body were colder than surrounding sub-zero air, Discovery News reported.
In these conditions, the feather surface will paradoxically gain heat by convection from surrounding air, the authors said.
They added that the "thick, scaly skin" of penguins "affords good protection" from cooling and contact with ice.
This species of penguin also has a relatively small bill in proportion to overall body size, which also helps to minimise heat loss.
When penguins stand a certain way, and gather together in a group, they further reduce heat loss.