Gortex is not as breathable as a simple windproof and may feel clammy and damp if you excercise hard. If it is very cold you may not heat up enough to bother but in my experience, a heavy duty windproof is always warmer and more comfortable in the dry.
In cold rain or damp snow you need a good waterproof so gortex would work.
In very light rain or damp mist a water-resistant windproof such as pertex is OK but these do leak under heavier rainfall.