How would you like to have an open air amputation in frosty weather?
Seriously though, all plants even hardy ones need to callus over any wounds or produce healing tissue, and they can't do that in cold weather. All living processes slow down or even stop at freezing.
It's far better to wait until early spring when plants are still dormant but the sap is beginning to rise.
In the meantime, you can sit in the warm and read a book on pruning instead by the fireside. Sounds like the best plan to me! LOL

Except for Wisteria and Campsis - these need pruning late winter (now until 15th February) but still best not done if the plant is covered in ice.