There are a couple of reasons that air mattresses aren't warm to sleep on.
If you blow them up with your breath, then you get them wet inside, and the water vapour condenses on the inside of the mattress and water convects your heat away 25 times faster than air! Brrr!
The other reason is that the air inside the mattress moves around. So there is always cold air from the ground moving up against your back - and the air mattress itself (the plastic finish) doesn't have any insulating properties. So as you warm up a bit of air that is right next to your body, it moves around (you create a miniature weather system inside the mattress!) and the cold air from the part of the mattress that is in contact with the ground, moves up and touches you. Brrr!
I know that hot air rises and cold air sinks, but the space is so confined that the cold and warm air inside the mattress mix constantly. You're trying to warm up the whole patch of ground underneath and around you when you sleep on an air mattress when it's cold, and you just can't!