There are a ton of things that the colder air/dense air can affect.

- Drag on the aerodynamic properties of the vehicle.
- Changes to fuel use due to the fuel/air mixture changes using denser air.
- The temperature of the fuel itself affects how it atomizes before combustion.
- Colder air going through the radiator and pulling more heat out of the cooling system, thus needing more heat input from the engine to maintain an optimum temperature. Normally not a real big deal on non-hybrids because they usually generate more heat than they need, but when the ICE of a hybrid kicks in, or it doesn't let you get into EV at all, only because the temperatures are too low for optimum operation - that's fuel used for things other than normal operation that would not be needed in warmer weather.