mice, I really struggle with being cold after working out. If you're anything like me it's not just a bit chilly, chuck on a jumper and you're fine type cold. It's bone deep, freezing, nothing helps type cold. I have done a lot of research and asked around, plus read dh's (ex-personal trainer) text books and found that it's quite common and more so with women.
I thought for a while that it was just because I was working out hard and it was simply energy depletion and some snacks would sort it out. It's a bit more complex and I won't bore you with the science of it (I bored myself enough) but simply put, it's the result of an elevated metabolic heat production which continues post-workout. So your body goes into all systems go while you work out and you start to shed heat (sweating, red, increased breathing) but this doesn't slow down when you stop working out, is exacerbated by a few factors (including the effects of HIIT) and you end up losing too much heat and in that wear every layer you have, plus a bobble hat, cuddle the radiator and shiver type arena. For hours.
A few things which really help:
Hydration. So much more helpful than food it turns out. Make sure you are hydrated before you work out. Drink while working out and drink afterwards. Aim to not let your body get dehydrated.
Deal with sweat. If you sweat while working out, it will cool on your skin as you do and it makes things worse. Wear proper workout stuff which wicks the sweat away from your skin. Wipe off with a towel while working out if you're really sweaty and post workout, dry off. Take off any sweaty clothes immediately. Put on something dry. Do this before you do a cool down/stretch if you're planning one.
Don't shower/bath straight away. If you do, your body will continue to shed heat post shower/bath (it will think you're still working out and need cooling) and you still get cold. As you start to cool down, put on another layer and keep moving around a bit. Tidy up, put away weights, wait until you are not breathing fast, sweating or feeling hot. Once you feel a more normal temperature or very slightly cool, THEN shower and dress warmly afterwards, preferably with a tighter layer close to your skin.
Do make sure you eat afterwards. Not immediately post-workout but probably after your shower.
I do get it wrong sometimes, get distracted or sit around in my workout clothes for too long and end up freezing. If you do get really cold, have another warm shower and put on several thinner layers and/or move around enough to get your body warming you up instead of cooling you down. My body just keeps cooling me down regardless of what I tell it, so I have to counteract its inefficient buggering about with my temperature with some trickery.