I have worn contacts in very cold weather and nothing unusual happened because you have to consider that the tears of your eyes are warm and the salt content also keeps them from freezing. What may get you is wind chill though - it dries your eyes and thus your contacts too.
I agree with JB. The salt content will keep the Contact Lenses from freezing. The thing you should really watch out for is rain. If you get a water droplet in your eye, the droplet may cause the contact lens to move around. I have had an experience with this when a rain drop hit my eye and my contact lens fell out and I could not see the rest of the day through my left eye.
Edited: Touchstone on 9th Aug, 2007 - 9:16pm
Name: Alex
Comments: Yes, yes they can. Just shut your eyes for like a second and it's OK, but if it is cold enough and windy enough, yes they will begin to freeze, but they are so thin, your eye lid will take care of it really fast. I'm talking conditions of wind chill in the minus 30s or colder.
Source1: Personal experience