There are many reasons. Seasonal changes include a loss of warmth and light. Furthermore, light is lost not only in intensity but also in duration, and we may find ourselves at risk of depression just from loss of sunlight. Plants go through seasonal changes. Even evergreens shed and slow their growth during the Winter.
Colors become muted.
Darkness brings fear, a deep primeval fear, perhaps stirring up ancestral memories of cave dwelling and the dangers held by darkness, dispelled originally only by daylight, later by fire. There appear to be some chemical changes that happen within us through the shortening of the days. We don't know the answer, but we do know that the change from Summer to Autumn to Winter is a part of the regenerative process, a time to shed the old, to rest. It is a time for prayer or contemplation to bring forth the new later on. The most interesting changes, though, are in the dynamics between people.