[VadeRetro]

In cold weather, your body uses more energy trying to keep warm than it usually does.

Right. Other things that make you vulnerable to colds: 1) prolonged emotional stress, 2) athletic overtraining.

[Mr. Jeeves]

Cold air also makes your nose run (mine, anyway). So you're constantly blowing it, and thus more likely to pick up a cold virus from some surface you might have touched..