Most of the range loss comes from climate control. In a combustion car, the majority of the energy in the gasoline is turned into heat. In cold weather, you just dump some of this heat into the cabin to keep it warm. An EV's efficiency is a disadvantage in this case, as it needs to use energy from the battery to heat up the cabin.
I don't have the exact numbers there but the HVAC system should draw ~2kW at full throttle. Giving an average of, let say, 160Wh/km (speaking of a recent Tesla M3 for example) at highway speed. Over an hour of full throttle heating you would have consumed in heating an extra ~10% of what you spent to move the car. So OK, maybe air drag increase is not the worst offender here but it's not just the HVAC system.
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While writing this I searched a bit and according to this [1] when there is really cold temperature and the battery still haven't got warm, it can draw 5-6kW at the beginning. Anyway when driving motors heat up, the heat is used to warm the battery, the battery heats up as well and all that heat is used by the heat pump to warm the inside of the vehicle.
[1] https://insideevs.com/news/452464/tesla-model-y-heat-pump-sy...