For gasoline, it is summer blend fuels that have additives to help the environment by lowering its RVP making it less volatile at higher temperatures, not winter. Summer fuel has about a 2% higher energy content due to these additives which is one of the many reasons why you get better fuel mileage in the summer. Winter fuel does not have these additives so it has a higher RVP which increases it's volatility so it can be easily burned in colder temperatures. You would have a lot harder time starting a vehicle with summer fuel on a very cold day than you would with winter fuel. It would also run rough.
There are other things that decrease your mileage during the winter as well like lower tire pressure and the air being more dense. For every 10 F the outside air drops, your tire psi will drop about 1 psi. So if it was 35 psi at 100 F, then it is 25 psi at 0 F. Colder air is also more dense than warm air which means you have to apply more load on your engine in order to push through it. The research we did at Cummins showed a 2% increase in aerodynamic drag for every 10 F decrease in temp.
Also, for gasoline engines, colder more dense air will cause the engine to burn more fuel to stay at the optimum 14.7:1 stoichiometric air/fuel ratio. Basically 14.7 air to 1 fuel. Gasoline engines have to stay around this ratio at all times in order to run correctly and not damage the engine. Since colder air is more dense, there is more of it in a given space. Therefore the engine reads this from the MAF sensor and adds more fuel to compensate for that increased air density. If it didn't add more fuel then it will run lean which damages gasoline engines.
This is why intakes generally hurt fuel economy on newer gasoline engines since the MAF sensor will tell the ECM to add more fuel for any extra air added. This is not the case for diesels since they run lean just about all the time so intakes generally make them more efficient. Under load diesels run about 16:1 and at around 140:1 at idle.