Colder air is more dense (as you stated) which requires more fuel for proper ignition. It also makes it more difficult for the car to cut through the air (aerodynamics). 2 mpg isn't bad of a drop. I lose about 5 mpg in winter also only using ethanol free.
Current- 2016 Race Red Focus ST1
Traded In - Sedan Revolution #249 - 2012 SE Sport - ╠╬╝ - Ingot Silver - 201A - K&N w/ snorkel delete - Blox Type R Knob