Cold snow is much "stickier" on skis and snowboards for the same reason. Skis glide easily over the snow because the pressure they exert melts a very thin layer of snow, reducing friction at the boundary between the ski and snow. A good hydrophobic wax helps this process even more.
Cold snow does not melt as readily under the pressure, increasing the friction as the snow crystals come into contact with the ski base. Below -20F, it's hard to find a suitable wax to make the skis glide.