If your challah buns are dense, there is a possibility that they were not fully proofed. Due to cold temperatures yeast might take longer to multiply, hence the rolls will require more time to proof. And if you used instant yeast, there arises another possibility of expired or inviable yeast, which did not provide enough leavening to your challah rolls. That is why always use instant dry yeast, as on blooming it is confirmed that the yeast is live and fully active.