Actually, despite what people may think is a troll question, this is a good question. I, too, have seen people wear ski masks during the extreme cold, however, I've never seen someone OC while wearing one. I would suggest that if the environment called for it (such as the extreme cold, like you said) then it wouldn't warrant alarm. However, you should take it off upon entering businesses.
I can't answer as to what the police, prosecutor, judge or jury would say though, just how I would personally feel.
Again, I can't say I wouldn't feel a bit alarmed if I were out jogging at night, and I encountered a sole man, whom is armed, and sporting a ski mask, especially in the areas I go jogging at.
I don't know really. Good question.