he heat capacity of water is substantially higher than the heat capacity of air. The heat given off by people inside igloos can substantially warm the air inside (helped out by the fact that snow is a very good insulator). But because the snow/ice/water that makes up the igloo structure has so much more mass and has such a higher heat capacity than the air inside, the igloo melts slowly.

Of course, this all assumes that the temperatures outside the igloo are below freezing.