Theoretic background
When expanding the latex, the work is partially converted in thermal energy. If the expanded latex is heated, the process reverses: The latex absorbs the heat and contracts.

Detailed explanation
When the latex is expanded, the long molecular chains are transformed from a angulated into a linear shape. Now the Brownian motion is less and heat is emitted.
When the latex is heated, the molecular chains' motion increases, the molecular chains transform from the linear shape to an angulated shape and the latex contracts.