Do your teeth hurt with any hot/cold drinks, air, etc..?
It's odd if it's only in the cold weather. You could be clenching your jaw when you're out and not realizing it, people tend to tense up in the cold trying to keep warm. Tightly clenching your jaw will obviously cause pain after awhile.
But if you're teeth are sensitive to hot/cold, ask your dentist about getting a polymer sealant applied to the sensitive teeth. If your dentist doesn't do that call around to some of the newer dental offices in your area. They usually have the best up to date equipment.
Anyway, it's the hygienist who cleans my teeth that does it. They will check your teeth to find the sensitive ones, then they apply a coating, use a laser light type thing for about 30 seconds to seal, then apply a second coating, seal it again and that's it.
It was the first time in years I could eat/drink without any discomfort. It usually runs about $10-20 a tooth but believe me it's worth it. It can last from a couple months to years depending on your situation.
I also use a prescription tooth paste, but it was the sealant that really helped. I was so PO'd I was never offered this sooner by other dentists I had.
But then again it was incompetent dentists in the past that is now costing me lost teeth, bridges, crowns, much pain and a small fortune to correct. I'd like to go and remove some of their teeth with my fist
Take care and good luck