In cold weather, the body reacts by routing blood away from the skin toward the internal organs. This prevents loss of heat through the skin and maintains the core temperature.
But, alcohol reverses this effect by making you flush red. This flush makes you feel warm for a few minutes, but you are really losing heat through the skin to the cold air. You could lose enough heat to begin hypothermia and not even realize it, because as your skin feels warmer, the core body temperature is becoming colder and colder.