Animal studies have shown that cold weather itself increases the feeling of urgency, that is, you feel more that you need to go. It does that by making the bladder muscles more active. In addition, as others have said, you sweat less but possibly drink as much as you do in the summer, meaning your body has more fluid to get rid of.
And there is one other possibility: when you are cold the surface blood vessels contract, resulting in less volume of blood needed. The extra fluid is then removed from the body in urine. Additionally, blood flow to our internal organs is increased to keep our organs warm.The increase in blood flow to the kidneys causes more blood to be filtered thus producing more urine once again.
And finally, sometimes folks drink more fluid than they realize in cold weather, including coffee, tea and hot chocolate. All of these contain caffeine, which is a diuretic and thus increases how hard your kidneys work.