Strangely, with the Alfa being our first TDI, we are finding less of an impact from the cold compared to the Zed. However, that might just be better right foot control in the Alfa than the Zed Zed seems to drop a good few (3-4) MPG in the cold whereas the Alfa stays about the same - maybe 2MPG different. Guess it depends how the engines are designed
Definately though, cold air is more dense and the ECU will adjust to use more fuel to compensate. Also, as the engine takes longer to warm up the engine will run open loop for far longer than when its warmer outside, which results in it running richer and using more fuel.