When you are cold your body reduces the circulation to the extremities and skin surface, a process called peripheral vasoconstriction (peripheral = at the edges, vaso = blood vessels) so concentrating a greater volume of blood in the body core. This increases the arterial blood pressure. The body's response is to try to reduce this pressure, the kidneys reduce the volume of circulating blood by removing water to the bladder to be lost as urine. This process is known as "cold diuresis".