Amy gave you an excellent answer. It is simply that, the colder it is, the less water vapor the air can contain and some must condense into tiny water droplets. It is the came for the dew on a cold glass or the way clouds form as moist air rises into colder layer of the atmosphere.
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Essentially. The lungs are a warm, wet place. When we exhale, the water that was held in suspension in air the lungs hits cold air and condenses, much in the same way that a glass with ice in it causes the water in the air next to the glass to condense ON the glass... Making it slippery. We make our very own short lived clouds when we exhale when it's cold.