(this is inspired by a discussion in the most recent asexuality journal club meeting; you can find a transcript and summary here: http://asexualagenda.wordpress.com/2013/04/22/asexuality-journal-club-yule-brotto-2013/)
Below is a copy of the Inventory of Interpersonal Problems (IIP) – 32 Item short circumplex form, one of the measures used in the Yule et al. 2013 study on mental health in asexuals, heterosexuals, and [non-asexual] non-heterosexuals. The scale measures a persons rank in each of these traits by summing up the extent to which they agree with each of several statements.
In particular, one of those findings of that part of the study was that asexuals were rated much higher on the cold subscale. In determining what might cause the result, I think examining the nature of the tests for “coldness” gives some insight:
1. It is hard for me to show affection to people.
2. It is hard for me to experience a feeling of love for another person.
3. It is hard for me to feel close to other people.
4. I keep other people at a distance too much.
Considering the kinds of phrasing used in these questions, it is quite possible that the difference is not necessarily one of the inherent mental health of asexuals, but rather a sign of the ways that asexuals may not fit into standard social scripts:
For example, an asexual or aromantic who as spent much of their life not understanding all the talk of traditional sexual/romantic attraction around them might well feel that they are incapable of “loving” properly.
Many asexuals might well have been lead to believe that they cannot “show affection” properly because they could not offer sex to a partner.
Because words like “love” and “Affection” are so tied into sexual and romantic norms that asexuals do not experience, it really should come as no surprise that asexuals might score higher in this domain.