Why does fuel mileage drop in the winter?
Good question, and a good observation, too. Fuel mileage does suffer somewhat in the cold weather, and it's the cold that's to blame.
If you're looking at your mileage over an extended period, there'll be some increased idling time to account for. That sucks up more fuel than would be the case in the warmer weather.
The fuel itself, up here in Canada and in the northern states as well, is blended with more kerosene in the winter. Kerosene has a lower cloud point than diesel fuel, so the percentage of straight kerosene is increased in the winter diesel to prevent freeze-up and gelling. But Kerosene has a lower cetane rating than diesel. Like gasoline's octane rating, the diesel cetane rating expresses the "power" of the fuel. Lowering the cetane rating means more fuel is required per combustion event to produce the same output as diesel provides.
There's also more rolling resistance produced by cold lubes and tires. More power is required to overcome that increased resistance, meaning you burn more fuel.