Why is my brand new iphone 14 over heating can I exchange with the new one?

Some activities (e.g., video) require more computational power which in turn generates heat. Some warmth is to be anticipated. Read this article about keeping your iPhone, iPad, or iPod touch within acceptable operating temperatures - If your iPhone or iPad gets too hot or too cold - Apple Support

If you are concerned, I would contact Apple and see what they suggest: Refer to this document for ways to contact Apple --> Choose your country or region - Official Apple Support

Select your country (also look for "other" regions), then a product. If you don't see one that handles your issue then keep experimenting with selections until you reach one that gets you a chat session or a telephone call and get the representative to redirect you.

or:

Contact Apple for support and service by telephone --> Contact Apple for support and service - Apple Support

If you purchased the iPhone from from Apple, you have 14 days to return the phone for a refund. Policies of other sellers may be different.

Otherwise, nothing is going to happen until you make an appointment at the Apple Store or visit an authorized Apple Service shop to let them take a look at the phone and go over your options with you.