It is a complex question, made even more complex by factors like the prior activity of each individual and how long each has been in the room.
Assuming that both people have become acclimatized to the room and that neither is running a fever, there are two important factors.
One is the percentage of body fat, with the higher percentage retaining more heat.
The other is the surface-to-mass ratio for each body, with the larger skin area radiating more heat.
If the room temperature is below the thermoneutral zone, so that the bodies are losing heat to the environment, the person with the larger surface-to-mass ratio feels cooler.
If it were possible to obtain a population of women with exactly the same percentage of body fat as a population of men, the women would feel colder, because they have a larger surface-to-mass ratio.
If a person is running a fever, the phase of the fever determines whether he feels hot or cold.
In the rising phase of a fever, for example, the person feels cold, and the peripheral blood vessels are constricted in an attempt to retain heat and raise the body temperature.