Your complain is quite common as you said in winter season you face the problem. This is what we call a cold injury or hypothermia, when the body cannot sustain the outside temperature. The most common entity is what we call "chilblains". The pathology of the symptoms from chilblains is unknown. Its a cold injury causing structural and functional distrubance of small blood vessels, cells, nerves and skin.
Chilblains are red, itching skin lesions usually of the extermities caused by exposure to cold without actual freezing of the tissues, which would then be a case of frostbite. They maybe assoiciated with oedema or blistering and aggravated by warmth. With continue exposure, ulcerative or hemorrhagic lesions many appear and progress to scarring, fibrosis and atrophy.
Treatment consist of elevating the affected part slightly and allowing it to warm gradually at room temperature. Do not rub or massage injuired tissues or apply ice or heat. Protect from trauma and secondary infection. There has been a hypothesis of treatment with prazosin for both prevention and treatment but is not widely practiced. Preventive measures, though obvious are often ignored. Several layer of warm clothing and protection against wetting and wind are important. Gloves and socks should be kept as dry as possible and insulated boots that do not impede circulation is advised. Warm head covering is particularly important since 30 percent of heat loss os from the head. Warming cold numb parts agaunst axilla or insertion in luke warm water are other form of remedies that prevent further skin damage.
There is another phenemenon, which has to be differenciated from chilblains known as Raynaud's disease, which is a functional peripheral vessel disorder, caused by vasospasm or excessive dilation.They affect only the digits and occasionally nose and tongue with intermittent pallor and bluing of the skin caused by cold exposure or even emotional upsets.rewarming restores normal color and sensation. However, in your case, I would think it to be the former, namely "chilblain".