Lots of things going on in cold weather that drives fuel econmy down.
Cold air is slightly denser, requires a bit more fuel to burn cleanly (and of course produces a bit more power). That consumes a bit more gas.
Longer warm up times mean more time running in open loop, ignoring the 0xygen sensor. Keeps the engine running richer longer, consuming more gas.
More idiling also tends to come with cold weather as people let their car "warm up", consuming more gas.
All the lubricants are thicker when cold, producing more drag until the warm up. This includes motor oil, transmission fluid, differential oil, even the grease in the driveline! That consumes more gas.
Lots of use of the heater on full blast, defrosters, etc... The electricity comes from somewhere - from the alternator driven by the engine which, you guessed it, uses more gas.
In colder weather, the air pressure in your tires drops. Do you check the sir pressure for every 10 F change in temp? At very cold temps, every 10 F can mean 2-3 psi lost. Underinflated tires require more energy to push giving more fuel consumed.
Yet some people blame all these losses on "winter fuel". Winter fuel IS an issue in some places. You will know if it is if you find a significant drop in fuel economy only when the fuel changes. In many places, (like where I live), the energy content of winter gasoline is basically no different than summer.
So you don't feel bad, my '88 Cherokee averages 16.7 mpg. It peaks in the summer at nearly 19 mpg in July, but only avrages 14.2 mpg in January.
At least it beats my truck - I average 13.2 mpg in January in my '99 F150. The truck averages 15.5 mpg, and peaks at nearly 17.5 mpg in July.