I am cold to the touch but yet I burn if held What am I?

Why this works

The riddle plays with the contrasting properties of dry ice. "Cold to the touch" refers to dry ice being extremely cold, as it is frozen carbon dioxide, with a temperature of -78.5 degrees Celsius (-109.3 degrees Fahrenheit). However, the phrase "burn if held" hints at the phenomenon known as frostbite, which can occur when skin comes into contact with such low temperatures, causing burns to the tissue. This clever juxtaposition of sensations makes dry ice a fitting answer!