Less dense fuel is a small part of it, running in open loop mode to heat the cat is a small part of it and alot of it is the change in air density.My thought was that less dense fuel in the winter would give lower mpg. I doubt it would cause more than a few percentage points difference, not 5mpg in a 35-40mpg car.
For @Sidecarflip the mpg difference is likely more due to colder temps causing the car to take longer for the car to get to full operating temp, and running in the less efficient open loop mode longer. Also, cooler denser air makes turbo engines happy, when the air going into the turbo is cooler, the air coming out is cooler, and the intercooler also works more effectively. All that means more air going into the engine, so more fuel has to be burned to maintain the programmed air/fuel ratio, impacting mpg. More power, though. Are you measuring mpg by doing calculations at the pump, using the car's computer, or just seat of pants?
For example a dirt bike would require a main jet 5+ numbers richer when going from the 90's to the 10's.