Asking the important questions as always.
Most Helpful Girl
Because the skin around the nipple gets all wrinkly (contracts), causing it (the nipple) to 'poke out' and get hard.
A guys penis shrinks because the skin is pulling in and drawing the penis closer to the body for warmth. They're both doing the same thing essentially.11
Most Helpful Guy
I am no expert but I believe it is constricted blood flow to preserve heat - They obviously respond differently to the constriction - The testicles are tight to the skin as well, if they showed, they would be more prominent as well - Best guess is the nipples and penises are made from different things.
Okay I went to Google which wasn't a great help but here are two quotes I got
"Your penis gets smaller when it's cold because it is drawing itself close to the warmth of your body. The temperature of the penis and testicles is tightly regulated to protect the sperm, which are healthiest within a particular temperature range"
Nipples :- "No one knows, but it's probably for the same reason that cold gives you goose bumps. Low temperatures stimulate the tiny muscles attached to your hair follicles, which cause the hairs to stand on end. In other, hairier mammals, this process, known as the pilomotor reflex, can produce a layer of insulation. In humans, it seems to be vestigial. The areolae (the colored areas surrounding the nipples) also have smooth muscle cells that contract when stimulated, and cold weather can make the skin pucker inward while the nipples stick out"1