Technically, working out in cold weather does require more caloric output for your body, but not enough to make a brownie's worth of difference. If you enjoy working out in the great outdoors, then go ahead, but it's not going to make a substantial difference. In fact, you may work out longer indoors because it's more comfortable and get a better work out that way.
Side note: when working out outside in the winter, make sure you warm-up slowly and stretch! It's really easy to pull a muscle in the cold!
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