Your furnace could be blowing cold air in cold weather or winter could be due to several reasons. One of which is that it could be due to over heating, meaning the blower kept blowing even after the limit switch turned off the limit burners. It could also be due to a dead pilot light or wrong thermostat setting. Check these out to ensure they are well maintained, especially in winter weather. Just like the HVAC system regulates conditions in the house, a warm engine runs well, giving you less headache in cold weather.