Cold air has a quality. Actually, several. Most important to us, it is heavy and it is dry. When air is very cold, it becomes denser and the air pressure increases. This is counterintuitive if you are thinking about closed containers. A sealed balloon loses pressure when it gets very cold because the molecules inside slow down, decreasing the pressure. But the atmosphere is not a closed container. In the air, cold air becomes denser. One quality of this dense air is that sound waves are carried more efficiently, making it easier to hear things far away.
Another quality of cold air is its dryness. Cold air is dry because fewer water molecules escape from the tiny drops that are present in the air. Because fewer molecules escape, there is less water vapor. Further, when cold air is mixed in with heated indoor air, its relative humidity goes way down, resulting in extremely dry indoor air during winter.