Cold, dry air = more O2. More O2 needs more fuel to be mixed properly. It would be interesting to see if there is any study that shows how much of a change air temp/quality makes in fuel consumption.
Yes more O2 molecules per volume of air but this does not equal more fuel consumption. You control the throttle and it makes more power thus requires less throttle input. The pcm uses mass of the air to determine fuel demand, load, idle , etc.. not volume. Now if you like to drive w.o.t. regardless, the potential to burn more fuel is obviously there.
I would even venture to say the motor is more efficient when cold out if all other conditions are equal. I say this because the intake runners, plenum, etc... can flow a given
volume of air at a specific pressure. So as the air density goes up it is actually getting more burnable O2 per volume of flow thus the system flows more efficiently. I doubt it would be significant enough to measure.