I honestly think it's a bug. I have not seen a single played or unplayed sim freeze to death in my game (and I have been simming for at least 5 hours a day since release day). If you're experiencing the issue, you should do what SimQARobo suggested and upload your save file.
I was joking earlier about making two sets of athletic wear! I guess I should have noted that more clearly. In my game, my sims don't turn blue when jogging in the winter with snow on the ground. The only time I have not tested this, is during a full on blizzard, but that's because my sim only made it 10 steps out the door before she slipped and fell on her back in the blizzard winds. I sent her back inside for the rest of the blizzard. I've only jogged in Brindleton Bay and San Myshuno during the winter (not sure if that's relevant, but erring on the side of caution, so I'll include it anyway).
I'm not playing with any mods currently.