Some ice caves exist in places where the yearly average ambient temperature is higher than zero centigrade. This phenomenon is quite rare. Ningwu Ice Cave in Shanxi Province is the largest ice cave of this kind in China. To explain the mechanism how the Ice Cave is preserved is a difficult scientific problem. In this paper, using the FEM (Finite Element Method) transient numerical calculation, the process of the heat transfer in the Ice Cave is simulated. We consider two controlling factors. Firstly, the external temperature is higher than the internal temperature of the Ice Cave in spring, summer or autumn. The air density increases in the gravity direction. So, there would be no convection in the Ningwu Ice Cave and the energy is transferred from the outside world to the Ice Cave by conduction. But in winter, the external temperature is lower than the internal temperature of the Ice Cave. The air density decreases in the gravity direction. Thus, the energy is transferred from the Ice Cave to the outside environment by convection. Secondly, the ice-water phase change prevents the external heat from being transferred to the internal Ice Cave. As the thermal convection is much more efficient than the thermal conduction, the heat inflow is much less than the outflow. The calculation results show that: (1) At a quasi steady state, the internal temperature of the Ice Cave is at the range of -3.9℃ to -2.9℃. That means that the ice body in the Ice Cave can be preserved. (2) If a sealed door is set at the Ice Cave entrance, the ice in the cave will melt within 40 years, because a sealed door can cut off the cold air into the Ice Cave in winter.