This question studdenly appeared in my mind, A hypothetical liquid that is completely incapable of transferring (consequentially holding too, right?) Any heat in any way, how would it feel to touch it? We feel cold when heat gets out of our body and hot when it gets in right? Would it just feel perfectly neutral?
Burn, probably not. After all we can dip our hands in hot water for hours and feel fine. Bloodflow would take away a large part of this heat.
If you were to dip yourself in such a liquid, you would probably risk hyperthermia really quick though.