The Code of Jewish Law specifically allows using a Shabbat goy when it comes to heating a house in extremely cold weather, because it may be a matter of life or death, in which case most commandments may be broken:
It is permitted for a Gentile to make a fire ... when it is extremely cold, as everyone is at risk of catching a cold. [Shulchan Arukh, Orach Chayim 276:5]
This was particularly important in Eastern Europe, where temperatures could dip very low in winter, whence the institution of the practice. But this practice can (and is) easily abused, such as by asking a Gentile to turn lights on and off for convenience.
So my question is: If it is permitted for a Gentile when lives are at stake, why is it not permitted for a Jew? Why was the institution allowed to be born, instead of telling Jews: "If it's too cold on Shabbat, do what it takes to heat the house yourself." ?