Hi
Temperature changes can affect the heart rate sensor's performance due to associated changes in skin perfusion. In the cold, the skin perfusion in your wrist may be too low for the heart rate sensor to get a reading.
Your heart rate. What it means, and where on Apple Watch you’ll find it. - Apple Support
Also be sure to use your watch in accordance with Apple's handling guidelines.
Apple's advises, for example, that:
You should avoid exposing Apple Watch to dramatic changes in temperature or humidity.
Apple Watch is designed for use in ambient temperatures between 32° and 95° F (0° and 35° C).
- Your watch can be damaged and battery life shortened if used outside of this range.
Note that using your watch outside of Apple's handling guidelines may render your watch ineligible for service under warranty, AppleCare+ and/or chargeable repair service.