That would make sense, colder weather often means more humidity and in more humid climates you'd probably see the same effect even when it's warmer.
I read up on intercoolers, turbo- and superchargers. Turbo- and superchargers force more air into the engine. With more air forced into the cylinder the force generated by ignition is more because there air is compressed and under pressure already. Warm/Hot air has less density, an intercooler cools the air down, cold air is more dense. So an engine will run better on cold air and cold air should have more oxygen and more humidity than warm/hot air.
I still don't know why it would use more fuel then. Would the fuel injection put in slightly more fuel when the air is colder? If so, why does it do this?