The New England climate that I've lived in for the bulk of my life is very close to Copenhagen's. I also love the winter and I exercise vigorously almost daily, working up a sweat out in the woods. Amazingly enough, most people during the course of human history didn't have access to fancy fabrics, yet we managed to not get "killed". Living in a city has the added advantage of having any number of heated establishments that you can step into if you're about to die.