Why is my new iPhone too hot

Is your iPhone displaying a message that it is overheating? Do you operate in an area above 95ºF? Do you play graphics-intensive games on it?

Ref: If your iPhone, iPad, or iPod touch gets too hot or too cold - Apple Support

Well, if you are concerned about it, I suggest you make a Genius Bar appointment at your local Apple Store or Apple Authorized Service Provider to have them take a look.