yes, in the winter you generally get worse gas milage for a number of reasons:
-ethanol has about 10% less energy than gas for the same volume, so you need burn more ethanol to get the same amount of heat energy that you get from gas
-you generally let your car idle more to warm the engine up, that's a lot of 0 mpg getting averaged in
-the engine runs richer when it's cold
-the oil in the engine, transmission, and differentials is thicker and harder for the engine to turn
-water condenses in the gas tank, so you're also burning water
i've always wondered what the denser cold air does. when it's dense you can get more oxygen into the cylinders, but then it's also thicker for the car to push through.