Really. Although the surface of the Sun is about 10,000ºF (6000ºK), it's not very dense --about one ten-thousandth of the Earth's sea-level atmospheric density.
Until about 150 years ago people thought how hot or cold an object felt was determined by how much of a weightless fluid called "caloric" it contained. But Joule came along in 1847 with the idea that heat was really a form of energy, the motion of molecules, and the caloric idea was abandoned.
About the same time, Maxwell and Boltzmann showed that the way molecules move and collide with their container gives rise to a pressure. From Boyle's Law, we know that the pressure is proportional to the temperature, and the kinetic energy of the molecules relates directly to the temperature of the gas. In short, temperature is a measure of the energy of motion of molecules.
So if you could grab a bucket of Sun and take it, say to the moon for examination, you'd find you had a bucket with just a few fast moving molecules in it. You'd actually need something to protect your hand from the cold and low pressure of outer space!