No. There's a reason why racers love cold air intakes, and it's not for efficiency, it's because you get to burn more fuel and thus make more power!

The extra fuel comes automatically because modern EFI (electronic fuel injection) motors use several sensors in a feedback loop to ensure that the air:fuel ratio is 14.7:1

There is an air temp sensor and compensation that adds roughly 1% fuel for every 10F drop in temperature. Then the oxygen sensor in the exhaust system measures whether combustion is hitting the 14.7:1 target and adds or subtracts fuel accordingly.

Drag goes up proportional to the density of the fluid. Having more oxygen to run your engine will give you more energy, but I suspect that it won't keep up with increases in drag.

Oxygen density is also proportional to the density of the fluid, so this should be a wash.

Yeah I suspect this is it. The density is inversely proportional to temperature and drag is proportional to to density. Even if the engine is more efficient (in a steady state) with denser air, the relationship is probably sub-linear.

I think lower ICE fuel economy comes at higher altitudes, not necessarily colder climates -- though there is a correlation.

The sparse atmosphere robs the engine of power, just as it reduces your body's ability to gather oxygen.

My car is markedly less efficient in winter on short trips, even though England doesn't moves vertically with the seasons. Over longer journeys this phenomenon is much less of a problem.

The engine's preferred operating temperature is much higher than any reasonable air temperature, and until that point is reached the engine oil will be less lubricative and the fuel (particularly in the case of diesel) less inclined to combust. It will naturally take longer to reach that preferred temperature when it is cold outside, because not only is the air cold but the engine is also this big lump of cold metal, absorbing the heat of combustion and pulling it away from the cylinder where it is needed.

The sparse atmosphere robs the engine of power, but that doesn't mean that it is less efficient, I think that matters on the car/driver.

Personally, high altitude driving helps my fuel economy -- I would speculate that it's due to decreased air resistance and the lack of power forcing me to drive a little more conservatively.

Colder weather reduces fuel efficiency because during warmup, extra fuel is injected into the cylinders to maintain performance, since it's harder to get ignition when the air is colder. In other words, better to waste some fuel than to hit the gas and have a lot less acceleration than usual.

In a modern car, the ECU controls the air intake pressure, so all higher altitude would mean is that the turbo system would spin a bit faster.