In addition to temperature, humidity & other atmospheric effects that others have mentioned, there is some perceptual trickery going on.

1. the low angle of the sun casts long shadows all day throughout winter. In a place like Colorado those shadows make it easier to see topographic details that would be uniformly lit during the day. Those shadows also change substantially throughout the day as the sun crosses the sky, and you’re more likely to pay attention to the changing landscape.
2. The low angle of the sun also extends the length of golden hour. You’re probably familiar with that all-day twilight feeling in the winter. Just as it does during sunrise and sunset, sun’s light refracting through the atmosphere during winter leaves more long red & green wavelengths. The yellow-orange color is the additive complement of the blue hues you typically see on distant mountains. in addition to the value contrast from the shadows, this also creates a color contrast. In art we call this successive contrast where contrasting colors next to each other make both appear more intense.
3. the presence of snow can also setup situations of simultaneous contrast, where 3 values can look like 4. Snow remains longer on the north side of the mountains where it’s shaded from the sun. You end up with a situation where the light patches in the otherwise shaded areas of the mountains appear lighter than they are and make the shadow appear darker.

Source (even though they used red and green for their example of contrasting colors when red and cyan would be more appropriate in an additive system) https://colorusage.arc.nasa.gov/Simult_and_succ_cont.php