Of course, in cases of 3rd degree burns, where the sensory Delta fibers and C fibers are damaged, there is no longer any thermoreceptors available. All external thermoreceptors are found on the dermis layer of the skin. Now, if you're talking about internal thermoreceptors, then that's a different case altogether.
There are some conditions where this can happen. I forget what its called, but its especially dangerous for these people when they get fevers or over exert themselves because their bodies dont activate proper compensatory mechanisms to cool the body down.