Too long to be a comment, this is an extension to Chris's answer.
Suppose a macroscopic object, a thermometer, for example, was placed in that hot intracluster medium (ICM) Chris mentioned in his answer. Even though that thermometer is surrounded by this hot gas, the thermometer will not get hot. It will instead cool to a tiny bit above the cosmic microwave background radiation temperature, about 2.73 Kelvin. At that equilibrium temperature, it will be absorbing a tiny bit of energy from the cosmic microwave background radiation and it will also be receiving a tiny bit of from extremely rare collisions with that hot medium. It will also be emitting a tiny bit of radiation to space, exactly equal to the total energy received.
That equilibrium temperature is so low because even though that medium is very hot (107 to 108 Kelvin), there's nothing there. Even the densest parts have 1000 particles per cubic meter. Compare that to air at standard temperature and pressure, which has on the order of 1025 molecules per cubic meter, or the very best ultra-high vacuum chambers found in physics labs, which at 10-12 pascal still have on the order of 108 molecules per cubic meter. Only a thousand particles or less per cubic meter means there's nothing there! In lay terms, that medium has very low heat content.