Yes when you're anemic you can feel cold when other people are feeling warm or hot in the same room or wherever you are.
Being anemic is a condition where you don't have enough healthy red blood cells to carry adequate oxygen to the body's tissues and that can cause the body to feel cold when it would otherwise feel warm when you're anemic.
So if you're feeling colder than other people around you then you could be anemic and not know about it and it would be a good idea to let a doctor know about it.
The doctor can test you to see if you're anemic and if so you can be treated for being anemic and then you may not feel as cold as before.
My sister is anemic and has to have the heating on at 90 F in the winter otherwise she feels too cold although I feel very hot in her house.