Our master bedroom has a large cold air return and one heating vent. The cold air return lets in cold air when the furnace is off. In fact, when you stand in front of it, cold air rushes out of it as it it were connected directly to the outside of the house.
I changed two conditions. First, I opened the heat vent wider - This seemed to stop cold air return from blowing cold air when the furnace is off. And second, the outside temperature has become warmer. It was - 20 C and now it is 0 C

So as the outside temperature rises the condition improves. Also, by trying to balance the heat vents, the situation improves. But when the outside temperature drops and the wind blows, the cold air return allows in cold air in the bedroom when the furnace is off.