This is just the way it's asked in Danish (Lit. "How do you have it?") as you often describe feelings with "har det" (f.eks. Jeg har det koldt = I am cold or Jeg har det godt = I am good)
If it helps, this construction is not unlike French for some personal experiences: "J'ai froid" which is literally "I have coldness" would be translated in English as "I am cold"