The effects I see at cold temps on my real road bike are.... none of them are earth shattering, but I feel them ad they're significant at least in a practical riding sense, not necessarily an engineering sense.

Wearing more clothes. Like it or not, you will tend to have more friction, binding, resistance from wearing more clothes, even properly fitting, high quality ones.

The wind chill effect - makes you less likely to hammer your speed up going downhill especially, coast more. Also tightens you up in general, even if you're warmed up.

TIRES!!. your tires are harder, less supple. They ride rougher and are therefore less efficient (in mho). They are less comfortable exacerbating the general lessened fun and comfort compared to warm weather cycling. Less comfortable, harsher = less speed, less endurance, less motivation to push it.

I can see the air density issue, but not being an engineer, that factor doesn't really cross my mind. What does cross my mind are the above reasons why, although I ride down to about 20F, I just don't go as fast or feel as fast as when it's above 60F.