I think their poor little paws get cold and if a long-haired dog, snow can catch in the hairs and between the pads which must feel like a stone in your shoe does to us. We used to have a Cavalier King Charles spaniel when I was a child and he was a total wuss - it took him years to learn to lift his leg, for instance, he used to do girlie squats when he wanted a wee and one day Mum let him out into the garden when it had snowed heavily - he squatted, the snow melted but must have refrozen very quickly as Mum could hear him squealing and apparently unable to get up again - frozen to the ground in a very sensitive area 