Yes cold weather can decrease your fuel mileage due to the cold causing your oil to become thicker which makes it harder for your engine to be lubricated.
This then causes your engine to struggle and then use more fuel in the process.
During the winter the gasoline blend is also different to prevent freezing so the different blend of gasoline can also cause the engine to lose fuel mileage.
Also when you have to drive slower in the bad weather that can to decrease your fuel mileage as well and you'll use more fuel keeping your engine running to keep the heater on in the vehicle and when defrosting your windshield.