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.
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The problem is exacerbated when the wind blows and the colder it gets outside. However, since I posted this message, I have opend the hot air vent and the problem appears to be not so bad.

Can it be caused by having a poor balance with the heat registers?

I would check the ductwork and look for a disconnected pipe. Is it in an attic or crawl space? The system has to form a closed loop to function properly.