When you get cold your body wants to try to conserve the heat your body produces to keep you from freezing to death. One way it does this is by restricting blood flow to your extremities, contracting the blood vessels so there is less flow there than normal. Less blood flow means less heat being radiated away; the reverse would be when in hot weather your body expands the blood vessels to increase blood flow and radiate heat away, causing your skin to become flushed.
Since the blood vessels on your extremities are becoming smaller to limit flow this means the overall space for blood to occupy within your body is reduced while the volume of the blood in your body remains the same. Blood pressure therefore rises, and your body reacts to that by trying to reduce blood volume by pulling fluid out of the blood. That fluid needs to go somewhere so it gets dumped into urine.
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