Yeah I always notice a dip too.. You'd think the cold air on the intercooler would be some added efficiency, but that never pans out.
That said the EJ20 (especially the WRX from 01-02) was very prone to cold weather gas leaks to the point of a recall notice being issued after enough owners complained.
I would, if I was getting that much of a drop in fuel efficiency, check for yellow gas stains on the top of your block. Technically you should smell the leaks because the air intake sucks up the fumes, but people can miss really obvious stuff..
It's pretty much down to the length of the hoses and the clamps used, and from what I hear was fixed on the 04 with longer flex hoses but they still used the same crap clamps? So if you do find a leak try swapping the clamps.
It could be a $5 fix, assuming you know where your fuse box is and can find the fuel pump fuse. With no power to the pump the motor will suck the pressure out of the fuel lines pretty quick.