Some snakes have a "pit organ" capable of sensing infrared radiation. The structure is similar to a primitive pit eye. Snakes are cold-blooded and their prey is generally warm-blooded, so it is obviously a useful organ to possess. The need for mammals to possess such an organ is not so obvious.
Many mammals such as rabbits, deer, bats, etc. have large ears with a parabolic form, presumably designed to reflect short wavelengths (high frequencies) into the ear canal. The inner surface is usually smooth with some protection provided by sparse hairs.
I understand that large external ears can be involved in thermoregulation, but that is not the question.
The parabolic form can also be quite useful reflecting and concentrating infrared radiation. To be effective, the external ear would have to have a smooth inner surface and to stay relatively cool. The heat-sensing nerves, if they exist, would have to be concentrated near the enterance to the ear canal. Again it would be helpful if these nerves could be kept relatively cool, perhaps on a projecting fold of flesh.
Mammals are relatively warm which already makes thermal sensing much more difficult. Humans can easily sense the difference between facing a warm pavement versus a cold sky, though I doubt that our ears play much of a role. But could, for example, a rabbit, in the pitch dark, sense the stealthy approach of a predator or sense the entrance to its own warm burrow, just based on the thermal signature picked up by its ears?
[edit] There is a structure called a tragus in bat ears. It is described as playing an important role in echolocation, but it's also in the right position to be a thermal sensor. 
Flying insects will be warm compared to their surroundings and the bats external ear may be quite cool.
[edit 2] Vampire bats have thermal sensors that are used to locate hot areas (blood close to surface) on their prey. But these seem to be concetrated in the nose-leaf and not particularly near the ear orifice.
