The heat has to escape somehow. There are three ways how. When you put your hand against a cold window on a winter's day, the window sucks the heat from your hand by conduction. Second, heat can move by radiation . Usually, when people think radiation, they think nukes, mutants, Chernobyl.
Hot things glow, giving off light that carries the heat away.
That's why the Sun shines and warms the Earth. It's also why you feel hot when sitting in front of a fireplace or electric heater. The desert is so cold at night because you and the air around you are glowing in the infrared, losing heat to outer space. Convection is the third way that heat can move. Instead of molecular domino-effects or streaming heat rays, convection relies on movement of fluid.