It's mainly the battery which needs to be warm when you start up, once the motors demand power it heats up internally anyway.
However the specifications are rather cautious and suggest minimum temperature of just freezing point or -10c for some models.
A real risk is icing on props which will be worse at close to freezing temperature. 
People are regularly using them well below freezing and you can sit in a vehicle even with closed windows, and still get acceptable range a mile or so anyway.