...well no, actually they won't.
I know it's a great excuse isn't it. And the cold weather that we've been lucky enough to have over the last couple of weeks has provided the perfect excuse for many a reluctant exerciser, frozen lungs are not desirable so better stay under the duvet until it gets a bit warmer...like Spring.
Well sorry to disappoint, but the human body has been through several Ice Ages, and survived. During that time it has adapted to cope with breathing cold air very well indeed by heating the air up quickly as it passes through the nose and mouth.
Some people can feel more laboured during exercise in freezing weather, but this is generally down to the dryness of the cold air, not the temperature of it that causes narrowing of the airway, and makes it feel as if your lungs are indeed freezing. Some people say it's a similar feeling to that caused by exercise induced asthma.
Now if you don't believe what you're reading then there is evidence of people exercising in extreme cold temperatures and surviving to tell the tale.
How about extreme adventure runners, for example, Richard Donovan, he was the first man to complete marathons at the North & South poles. With temperatures down to -50°F he didn't report anyones lungs freezing, a bit of frostbite here and there maybe.
But before people post comments that frozen lungs have been reported, the bodies they were in did have to die from the freezing cold first, and when the rest of the body froze the lungs froze too.
So you can rest assured, your lungs won't freeze while there is a breath left in your body.
Caution: As with all exercise, if you haven't exercised for some time, or if you have any medical conditions, you should see your physician first for a checkup. Tell them what you are planning to do so they can advise based on any medical history you might have.