Why can't one answer ' Ei sunt calde'?
Since we don't know what 'they' refers to it can be masculine too. So either accept both or add a (fem.) after the they in the english question.
Because 'calde' is feminine plural. 'Ei sunt calzi?' would be for masculine. My multiple choice question had 'Sunt calde?' as the correct answer and that's probably safer when there's no context.