Marble floors feel cold because of the way marble conducts the air around it. Carpet will absorb heat far more quickly than a solid floor and, in turn, marble is a stone which is far more resistant to change than even wood flooring or tile.
Because marble is such a dense, solid stone, it will take a lot of energy from your body to make it feel warm. As it conducts heat at a high rate, it will take quite some time for it to feel anything but cold to your feet.
An example of this is that if you place your feet onto carpet, it will absorb enough heat from the soles of your feet to reach the same temperature as your body. It may feel cold at first, but your body will soon recover the lost warmth and balance things out.
However, when you stand on marble, the marble (having a higher thermal mass) will absorb heat from the soles of your feet much more quickly than carpet. This is a bit of a shock to the system, and you will, therefore, feel cold.