Why does the Audi A2's fuel efficiency decrease in cold weather?

I've noticed that my Audi A2's fuel efficiency decreases when driving in cold weather. What could be causing this change and how can I improve it?

The decrease in fuel efficiency in cold weather is due to the increased density of air, which requires more fuel to maintain the same speed. To improve fuel efficiency, you can try to minimize idling and use your car's heating as efficiently as possible.