Because of density, there's more oxygen in cold air.
However, where and when you run matters. Breathing exhaust fumes isn't good while running.
I was a partner in a store back in the late seventies. As it was only a few miles from my house, I'd walk to work and try to run. Unfortunately, even though this was the suburbs, I had to be on a fairly busy road. Not heavy traffic, but I could never quite make it to the store - I'd be winded.
The blizzard of 78 stopped traffic literally and we were banned from the roads for a week. There was always work to do at the store, even without customers, so I went to work.
While the cars were banned, I could run the whole way and arrive without gasping. When the ban was lifted, once again I could not make it.
Gasoline sucks :)