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Planets exchange heat by radiation. They receive energy from the sun, and radiate energy to space. Since radiation heat transfer is driven by temperature difference, a space temperature of 0K would allow the maximum possible radiation transfer. The actual radiation temperature for space is about 3K, not 0, from the cosmic microwave background and starlight.

The temperature of space is not absolute zero... absolute zero is -273 degrees celcius... this temperature is reached when there is no energy... and i mean NO energy, not even light. Space though has plenty of matter and energy, it is not purely empty.

A planet's temperature is lost in several ways.

1. Light: planets do give off light, which is why you can see them! light is energy. This light can also appear in the form of heat (infra red radiation) which will leave the planet as long as it is not absorbed by the atmosphere.

2. Evaporation: Planets gain water from space and likewise loose water from space (this is in the billions of tonnes a year). The water that evaporates off carries some of the energy with it.

3. Dust loss: through numerous movements and collisions dust and gas are sometimes thrown off the planet, taking with it some of the energy.

All planets initially start hot, over billions of years the energy is slowly lost to a degree you would not notice in a human life span. Occasionally astronomical effects may change this but generally the planet looses energy again.