Birds maintain heat partially by having a "heat transfer system" in their legs. Their arteries and veins are located near each other. As the warm blood in the arteries goes towards the bird's feet, it passes the cool blood returning to the heart in the veins. The warm blood heats the cold and vice versa. It is only a few degrees difference, and it doesn't seem like it would matter much, but it helps them save energy. That deosn't mean then can't feel their feet, though. They certainly can. I can see why someone would think otherwise since they put up with a lot of damage to their feet without getting too bothered by it. Strings around the toes, for instance, has to be painful, yet I've had a chicken with string very embedded in its toe, without even a small limp. Removing it was painful, apparently, but recovery was swift. I think they put up with foot pain well.