I absolutely think there's an injury risk. Even if your core temperature is fine, if you're running in cold weather, you're going to have a temperature differential between your deep tissue and your shallow tissue. Patellar tendons, for example are right below the surface of your skin. You might be perfectly comfortable, but if that tissue is too cold, it can get irritated and inflamed.
I don't really understand why so many runners insist on underdressing in the winter, as though there's nothing worse than having a drop of sweat gather on your brow. Being cold sucks. If you don't sweat at all on a run, chances are you're never really getting warmed up.
Also, I know it's popular on these boards to say "Kenyans don't worry about X or Y" as evidence that we shouldn't worry about it either. Well Kenyans wear tights, even in fairly warm weather.