Your body hurts when it's cold outside because of the less blood flow going through your body.
The cold weather causes your blood flow to slow down so you're not getting as much blood through your body which helps to keep your bodies joints loosened.
When the cold weather comes it causes your bodies joints to stiffen up which is normal.
Also when it's cold and/or damp out the changes in barometric pressure can cause an inflammatory response in the joints.
That change in air or barometric pressure and inflammatory response causes your joints to tense up and tighten so that you experience some pain.
The only thing you can really do is make sure to bundle up properly and avoid staying in the cold longer than necessary.