"The Pillows", a short story by Margaret St. Clair, first published in Thrilling Wonder Stories, June 1950, available at the Internet Archive. You may have read it in one of these compilations.
Humans harvest so-called pillows on Triton. They're sort of cute, they're warm most of the time, their owners are lucky, and they're considered good for children. But this one scientist suspects something more is going on.
The following excerpt is from the version in the anthology Possible Worlds of Science Fiction (Groff Conklin, ed.), which is probably the version you read. In the original magazine version, the pillows are from a fictional asteroid called Eschaton; in the revised version they are from Neptune's moon Triton.
In the third place, the pillows could reverse entropy.
`A pillow could extract heat, as a man sucks milk through a straw, from a substance colder than itself. They were intelligent; they took care never to display their faculty where it could be observed.
In the laboratory, they cooled gradually from forty-four degrees Celsius to room temperature. Otherwise, the difference between their fairly high temperature and the abnormal coolness of the objects around them might have been noticed even by the beglamored (it was the only word) wits of the indifferent scientists. But if a pillow were not on its guard (he had caught the one on McTeague's bunk off guard last night when he had reached across it so suddenly), or if a pillow had nothing to fear, it would be possible to hold one of them in the hand, comfortably warm as usual, and feel the hand grow chill around it, feel the chill creep inward, have the
hand freeze to the bone. That, on a larger scale, was what has happened to Edward Clutts.
Make a hypothesis. Clutts had been landed on Triton, at his own request, to investigate the pillows on their home terrain. There had been a rendezvous appointed at some specific time. They had looked for him, of course, but a man is a small object, even on a pebble like Triton. Clutts hadn't gone to the rendezvous because he was dead. The pillows had killed him. The pillows didn't like to be investigated.
The phrase "a pebble like Triton" seems odd, seeing as Triton is one of the largest moons in the solar system with a diameter of 1680 miles. In the original magazine publication it was "a pebble like Eschaton", a fictional asteroid. The first half of Conklin's Possible Worlds anthology has a story for each planet of the solar system; apparently Eschaton was changed to Triton in order to adapt St. Clair's story to fill the Neptune slot.
You can also read the revised (Triton) version of "The Pillows" in The Best of Margaret St. Clair, which can be borrowed (for free but registration required) from the Internet Archive.