The first time my first cat went out in the snow, she thought it was fascinating for about 20 steps. Then she shook a paw to get the white stuff off, and when the white stuff didn't disappear, she decided it was the enemy and ran back inside. She showed zero interest in going out the next time it snowed.
We hardly ever get a lot of snow in southern New Mexico. This year we had a lot of snow for change. The cats were all mystified by the snow until they went out and realized the stuff was cold and wet. They made a quick retreat back into the house and enjoyed the snow from the window.