Can you imagine how cold it must have been in Kinloch Hold though? Tall tower. Middle of the lake. In Ferelden of all places.
I bet the wind rattled the shutters. I bet it seeped in through every crack in the mortar and left the mages—the ones not sleeping close enough to the fire, or with privileges for extra blankets—shivering too much to sleep. And there would be joints aching from the cold and ice on the basins in the morning, and as soon as you finally shook off the chill enough to feel alive again the sun would already be setting.
So, by all rights, Anders shouldn’t like the cold, but Theron is warm and soft and burrows under the blankets, with his nose against Anders’ collarbone. There are more than enough blankets on their bed, and it’s close enough to a fire to never get as cold as those apprentice bunks, so it's Theron that feels the cold first and responds—just as cat-like as ever—by trying to get close enough to steal his warmth.
So now he likes the cold because it’s something else he can share with Theron.