Cattle didn't develop their instincts in the last decade while we were building barns for them. Their instincts were developed thousands of years ago when their biggest concern was attack by predators.
Given that, if you were a cow, would you want to go into a trap called a barn, with little chance of escape? The more docile might go for it. But most will be more worried about predators than the cold. A building with more openings and chance of escape might get used more.
As others mentioned, cows do better in cold than heat, as long as they have food. Their rumen is like a steaming compost pile and produces a lot of heat. Can be used to heat buildings:
http://www.farmshow.com/view_articles.php?a_id=908
"Del Lussenden, a Surge dairy equipment dealer in Owen, Wis., has come up with a new "cow power" system that captures body heat given off by dairy cows to heat farm homes and other buildings. In the summer, the system reverses itself to act as an air conditioner. "One cow gives off 4,400 btu's per hour. Our Dairy-Aire system recovers 2,500 btu's. A 60-cow herd will easily heat and cool the average 1,500 to 2,000 sq. ft. home,"
Again, cattle have more problem with heat:
http://vetmed.iastate.edu/vdpam/extensi ... eef-cattle
Compared to other animals cattle cannot dissipate their heat load very effectively. Cattle do not sweat effectively and rely on respiration to cool themselves. A compounding factor on top of climatic conditions is the fermentation process within the rumen generates additional heat that cattle need to dissipate. Since cattle do not dissipate heat effectively they accumulate a heat load during the day and dissipate heat at night when it is cooler. During extreme weather conditions with insufficient environmental cooling at night cattle will accumulate heat that they cannot disperse.