There are two conditions that pop into my mind when I think of painful skin when exposed to cold temperatures.
Why does my skin hurt when I'm cold?
The most common problem here is a combination of increased nerve sensitivity due to the cold, and prolonged "stretching" of the skin caused by unusual muscle behaviour.
If you're out in the cold, your whole body will shiver and shake. It's a natural way to try and keep warm by raising your body temperature.
Unfortunately, this constant and unnatural movement can lead to discomfort if it is prolonged.
The cold makes my skin hurt!
Another possibility is the condition called fibromyalgia.This is an illness where the sufferer feels pain all across their body, sometimes concentrated in particular areas.
It can be triggered by cold weather, stress and physical activity - and can be a lifelong condition.