They're right ... recheck your tyre pressures (manually - using a gauge) and ensure that they're at 37 psi. Then drive for 0.5 mile or so and the TPMS should reset and any alerts should disappear.
It is a well-known fact that tyre pressures reduce in cold weather ... if you set the pressure at, say, 10°C ambient and the temperature drops to 0°C ambient then the pressure inside the tyre will reduce. Therefore tyre pressures should be checked regularly, especially when ambient temperature changes significantly (down or up).
Ye cannae beat the laws of physics, Cap'n