Couple reasons why.

First off, in colder temps, the rubber isn't as soft, so by lowering the tire pressures, you allow the tire to heat up quicker, regaining that softness. Also, as you noticed, when the tire heats up quicker, the air pressures rise faster than you're used to, and may end up being higher than you normally run in hot weather. This isn't an entirely bad thing, but I suggest resetting your pressures to what works for your car on normal days after a run or two that felt good. In other words, set your final tire pressures "Hot".

The reason for this is that you've determined what pressures work well for your tires when they're up to full operating temperature. The temperatures across your tire might change, but the shape of the tire at that pressure won't. By setting your tire pressures hot, the idea is that the pressure will be correct once you get the tire's temperature up where it needs to be. On cold days your "cold" pressures will be a lot lower than what you're used to, but in the end, your "hot" pressures don't usually differ much.