It's a compound effect too. True, with higher air density aerodynamic losses are greater, but there are also greater throttling losses. Higher air density means you use slightly lower throttle position for the same power output, therefore you are restricting the air more which means the engine has to work harder for the air it gets. (Obviously this is most applicable at low throttle operation.)
I don't know the numbers, but it has to be smallish. It is, nevertheless, another contributor to cold weather reductions in fuel economy.
On the plus side, at WOT, the engine will actually produce a little more power for donuts in the snow when it's cold.
