The thing is how to get them to go out in the first place. Plan some activities for them. A few suggestions will get them started and they will take it from there.
Try a game of freeze tag. The person who is "IT" must tag one of the others. When that person is tagged he or she "freezes" in whatever position he or she is in when tagged. After all the kids are frozen a new "IT" is chosen and the fun starts all over. A camera is handy for an adult to have to take pictures of the poses.
Why not make a feeder? A long piece of thread or fishing line is the place to start. Before the children go out, have them string popcorn, berries, and cereal. Then they can go out and wrap the string around a tree or bush. It is colorful and the animals and birds will be thankful.
Perhaps the little ones can carve apples into apple people. You have seen the ones that they make into dolls after they dry and shrink. But after they carve them have them hang them from a tree like ornaments. They are fun to look at and again animals will enjoy them. Watching them come to feed will occupy the children when they are inside.
If you are in an area where there are animal tracks, the children will have fun tracking. They all like to feel as if they will capture a wild animal. See if they can identify the animal from the tracks it leaves.
After dark in the winter is some of the best time for stargazing. It seems as if the air is cleaner and crisper and the stars are brighter when it is cold. Maybe some constellations will be identified. The big dipper is usually the easiest to begin with.
A winter hike is an experience that will not be forgotten. Barren trees, evergreens, berries, animal and bird tracks, snow, ice, frozen and partially frozen water, and icicles are just a few of the things you might see. If you live in the city, a walk around the block is fascinating. Compare how Mrs. Brown's flower bed looks in winter and summer.
Take some maple syrup outside. Draw pictures in the snow if it is deep enough. The syrup will freeze into the snow and make a delicious sweet treat.
These are just a few ideas. Feel free to use them or make your own. Snow angels are fun at any age. Do remember to take the children indoors before they are frozen themselves. Have a nice warm cup of cocoa and maybe a grilled cheese sandwich to warm them inside. You will all have fun.