what?!? the things homeowners will come up with... the cold air comes from being drawn in from the outside due to you burning up the air in that room. fires need oxygen/air to burn. if you don't have enough make up air in the house, burning a fire will pull air from anywhere it can to sustain itself. if there is not enough air, it can smoke and die out. is there a flue damper in the fireplace? should be one. close that if you don't like the draft. do you have a forced air furnace too? there should be a make up air line from the outside to the cold air return plenum. this should provide you with some outside air to burn. if not, add a make up air vent in the basement or in a utility area to give the fire something to burn.