I used to be like that. Would run outside during the winter everyday after work. I'd run by gyms and think the same thing. Then I changed my mind this past winter for a handful of reasons:
1) Ice. I've fallen pretty bad on ice a couple times while preparing for spring races and lost a week each time to recover from bruised knee caps, hips, etc.
2) Snow. I usually run around 6:30 pace and would rather do that on a treadmill than 8:30 pace in 12ins of snow.
3) Frozen extremities. I got chilblains for the first time this winter and my hands were sore and swollen for over a month
4) It's dark out. Even with my reflective gear, I've still been nearly hit by many cars and actually hit by one a few years go.
5) I don't race in the winter. Why train in the cold when I'll be racing in warm weather.
6) Workouts. It's a lot easier to do hard workouts when you don't have to worry about cars, ice, snow, lighting, etc.
I joined a gym for the first time this winter and I don't regret it. I feel like my training is going much better than if I hadn't joined.