Exposure to cold causes a reduction in blood flow to the surface of the skin by constriction of blood vessels. This reduces the overall volume of the circulatory system so increasing the blood pressure. The body's response to this is to reduce the fluid volume by getting rid of water in the urine.SourceL
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Because in the cold we bundle up with layers and layers of coats etc. that are hard to get off. In our mind there is a lobe called the 3 year old lobe. I makes us have to pee any time it is inconvienient. It gets worse as you get older. Just try making a 200 mile drive without stops and you'll see.
I've wondered that, and now I know . . . In the cold, bloodflow reduces in the extremities to reduce cooling and keep your core temperature up. Because of this, your blood volume and pressure increases and the brain may reduce the blood volume by enabling the hormone to instruct your kidneys to extract the excess water, makes you urinate more. Clever things, bodies. (And Google ;¬)
Mybe its because its a waste of body energy to keep your pee warm. So your body doesnt want it anymore.