There could be a number of factors in play. First of all, Olympia doesn't have the relatively warm waters of Puget Sound to their west to help insulate them. A second factor could be that large city area (like the Seattle/Tacoma/Everett corridor) generate their own heat from such sources as concrete that hold heat during the day and radiate it out at night. And Olympia is nowhere near as large a city.
Finally, it could be a combination -- that the airport (their official reporting station) is in a rural location away from what heat would be created from the city. It's also south of the city and further away from the Sound. Either way, bundle up!