Researchers from Sweden and Scotland collected over 20,000 nasal swabs over a three-year period to detect respiratory illnesses. They then analyzed local weather data. They discovered that outbreaks of respiratory infections like the flu and respiratory syncytial virus-- a virus that causes cold-like symptoms-- began during each year's first low-humidity, below-freezing week.
In other words, the winter chill kick-started flu season. Study authors theorize that viruses, like those that cause the flu, travel in liquid particles, and survive better in dry, cold climates.
So in short: yes, you're more-likely to get sick when it's cold out, but the temperature outside is not the only factor that impacts your chances of getting sick.