The answer to this question really depends on how cold it is. Cold air can make it hard to breathe and can affect your oxygen levels. Super cold air can be dangerous to breathe in as it can freeze the moisture in your nose, sinuses, and even your lungs. Cold air and win can also cause damage to exposed skin and can lead to frostbite and windburn. Wearing a neck warmer can help protect you and keep you safe and will help you also enjoy your runs and workout sessions even more.