problems? yeah, you get cold
seriously, you can lose a little oomph in your launch battery (or you can carry it under your coat to keep it a little warmer)
under really severe cold you might damage a motor due to exposure (different thermal expansion/contraction rates for the BP grain than the case, possible delamination, consequent SEVERE increase in available burn surface area, CATO) but I never had that happen
worst problems I ever had was when rockets sank into the snow (when soft) or (when hard) the parachutes stayed inflated after landing and the whole thing skated across the top layer of crust and blew across to the next neighborhood