Tire pressure sensors aren't always accurate. Most will read about 3psi lower than actual tire pressure. For instance, if spec is 30psi, then the tire pressure sensor will read 27psi. The TPM system will turn on the light when you are +/- 5psi from the spec pressure of 30psi. So, it will illuminate when it is over 35psi or under 25psi, Get it?
If you have Nitrogen filled tires, that will also make a big difference as nitrogen is lighter then air. So, in cold weather nitrogen is similar to a helium filled balloon when you take it out in really cold weather. My suggestion is that you fill your tire pressures to about 35psi.