Last night was the first snow of the winter. It was hardly much. Just a little bit of flurries. Loki didn't think anything of it. Just a tiny bit of snow doesn't quite have the same effect as if you woke up one morning to see a thick blanket of snow covering the world outside your window.
Generally, he doesn't seem too affected by weather - rain or snow. He just goes about his business as usual.
See, not much snow. In fact, I'd bet people in colder climates wouldn't even count this as the first snow.
Sniff, sniff, sniff. Does it feel cold on his nose? I don't know. I would think so, but he didn't react any differently to it than normal.