Temperature of your body is regulated by tiny receptors in muscles and the skin. These receptors are extremely sensitive to even the slightest changes in temperature. During exercise the receptors work with the master regulating area of the brain. This "center of regulation" detects small changes in muscle fatigue and deliver a greater blood supply to the muscles or tissue that needs it. This, in most people, is felt predominately in the extremities of the body including the fingers, toes and even the penis. When the penis becomes cold it has a natural tendency to shrink or become more compact. Soon after you exercise the Regulating Center of the Brain brings back normal temperature throughout the body.