I have a gas furnace that has a vent coming from outside and is spliced into the cold air return. What is the purpose of this? Does the cold air affect the efficiency of the furnace? Can I remove it or does it need to stay in place?

It is used to mix in fresh outdoor air. While it helps to reduce "stale" indoor air, it will have some impact on system efficiency and operating cost. Assuming it isn't an ERV or HRV, it can be covered, blocked, or disconnected if desired. You may consider using it as a combustion make-up air vent if you have gas appliances.