How to determine where the cold is coming from?
Checking first to eliminate gaps hidden behind the doors' trim or molding is the place to begin. Expanding foam or pieces of rolled insulation work well to stop drafts.   If your door is mostly wood (as most are) it could be that the cold outside air is being conducted through the door. Installing an exterior second "storm door" would provide an air space and a thermal break from the frigid exterior air. This should solve any drafts that are allowing cold air to penetrate through to the living space. here is a link to a door door