Will it hurt my car to use the "air recirculate" when it's very cold outside?

I just bought a new mazda 6 because I drive in congested traffic for work and I wanted an "air recirculate" on to avoid the pollution. However, after I bought it a mechanic informed me that it won't work when it's very cold outside. He was in a rush and didn't explain. #1 why doesn't it work in the cold? and #2 If i use it anyway when it's cold outside will it hurt it in any way? Thank you.