Cold welding is a very interesting phenomena. Essentially the surface atoms 'see' each other on contact (since there is no oxide layer) and just join together covalently as if they were always one piece of metal. This can happen on earth as well with some of the less reactive metals. In fact, this is how wire wrapping works to create a solder free connection that is stronger than solder in most cases. It also typically has a lower resistance which is preferred.
RE: Can metal pieces get stuck together in space?