There are a bunch of things going on, and some people's measure of efficiency needs work.

1) winter blend fuels have less energy per volume, that doesn't make your engine any less efficient by energy but it does by volume of gas

2) lots of temporary cold effects: fuel vaporization, thick lubricants, etc. these things become less of a problem as the engine warms up but some energy is still lost on long drives

3) air resistance: all aerodynamic forces are linearly proportional with air density. At a constant pressure there's about a 15% difference in air density between the hottest and coldest places you can drive (and thus 15% less drag on a hot summer day than a cold winter day). aerodynamic forces are proportional to the square of your velocity and they become the largest resistive force around 50mph -- so at highway speeds you're losing efficiency because you have to push more air out of the way

4) energy used to maintain temperature: this is hard to calculate but some engine power is lost because the energy is used heating up the engine block and lost to the environment

5) the Thermodynamics 101 engine efficiency goes UP with increased temperature, but it's got a lot of real world effects to compete with, no spherical cows and all