Lies. Intake Air Temperature sensor reads the air as colder, and thus more dense, and sends more fuel to the combustion chamber, leading to better performance. As far as mileage gains, they're minimal at best and only produce such gains by increasing the efficiency of the intake system by reducing restriction.
In a nutshell, IAT sends more fuel to burn in the cold.
Also, when your car starts in the cold, it goes into a warmup mode where the idle kicks up and it runs a bit rich to heat the motor up faster. I get horrible mileage in the winter because of my beastly cooling system keeping the car in warmup mode.