It can. Anemia can cause people to feel cold, but more common symptoms would be low energy, heart pounding or racing with exercise or exertion, dizziness, or pale skin. Being cold all the time, especially when other people are comfortable, is a common symptom of hypothyroidism.
It can make you. Feel this way, particularly if the anemia is severe enough to alter patterns of blood flow to support visceral organ perfusion. However, a sense of cold when those around you feel fine is a classic symptom of hypothyroidism. Moreover, anemia can be a finding in the context of hypothyroidism. As such, you may want to ask your dr about this, as there can be a "chicken and egg" situation in your case.