Your epidermis, or outermost layer of skin, is made up of molecules called lipids. They keep your skin moisturized and help protect it from the elements. However, it's a bit harder for your skin to maintain its moisture barrier when air is cold. The chilly air breaks down the lipids and your skin is more susceptible to damage. The friction caused by the wind, accompanied with exposure to the sun, may cause the redness or irritation commonly known as windburn.