His [armor][1] allows him survive absolute zero :


>The Star-Lord Armor allows the wearer to **survive in the absolute zero, Vaccum of space**. The suit is able to travel through space under it's own power. The suit provides the wearer a personal energy shield for protection.


Granted it looks quite different to how he looks in the movie. And it could be argued that in the movie, he's only wearing a trench coat and trousers...

  [1]: http://marvel.wikia.com/Star-Lord_Armor