A few excerpts taken from this
article. Some you may have never thought about.
Lower average engine temperature
In the winter, an engine takes longer to reach operating temperature and cools off faster when shut off. Since the engine management system orders up a richer mixture when cold (proportionately more fuel in the air/fuel combination), more fuel is being burned overall.
Higher average lubricant viscosity
Engine oil thickens as it cools. So does transmission and differential fluids and even bearing grease. Significantly more energy is needed to overcome the added drag these cold lubricants cause. Using synthetic fluids can address this problem, since their viscosity changes less at extreme temperatures than traditional mineral fluids.
Gasoline doesn't vaporize readily at very cold temperatures. So oil companies formulate fuel differently for cold-weather markets in the winter. Unfortunately, the changes that provide better cold vaporization characteristics also result in less available energy for combustion. You won't get as far on a liter of winter gas as you will on a liter of summer gas.
More aerodynamic drag
No, I'm not referring to the layer of snow you're too lazy to brush off the top of the car (though that would hurt mpg too).
A vehicle’s aerodynamic drag is proportional to air density, and the density increases as temperature drops. For every 10 degree F drop in temperature, aerodynamic drag increases by 2%