Doctors call this calor, which means heat in Latin. Infected areas are hot partially for the same reason infected areas have Erythema: increased blood flow.  The other reason is immune factors react to increase body temperature to fight of infection, sometimes over the whole body (fever) and sometimes just at the area of the infection (local). 

Brandt R Gibson, DPM
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Podiatrist, Neuropathy Doctor, Father of 11 and Founder of Mountain West Foot & Ankle Institute